AI RESEARCH
A Computational Method for Solving the Stochastic Joint Replenishment Problem in High Dimensions
arXiv CS.LG
•
ArXi:2511.11830v2 Announce Type: replace-cross We consider a discrete-time formulation for a class of high-dimensional stochastic joint replenishment problems. First, we approximate the problem by a continuous-time impulse control problem. Exploiting connections among the impulse control problem, backward stochastic differential equations (BSDEs) with jumps, and the stochastic target problem, we develop a novel, simulation-based computational method that relies on deep neural networks to solve the impulse control problem.