Last semester, I have two courses related to martingale. But how can it be used in inventory related problems. So far my limited literature reading hasn't touched any paper using martingale properties. I guess the reason is that it is not easy to find a martingale in inventory problem.
Today when I read 'The logic of Logistics', I found an application to use martingale difference sequence to develop average case analysis for Bin pack problem. Although it is not close related to inventory problems I am interests. It is a good start.
The reference is
Martingale inequalities and NP-complete problems
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There are several papers using martingle to model forecast updating with application to inventory problems. I don't quite remember the name of those papers. But you should be able to check them out by the keywords such as 'forecast upates', with one published in 1994.
Yeah. These two should be related, such as the demand is correlated over periods.
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