用生成模型实现动态库存决策,抗先验错误且在线表现稳定。
In-Context Learning for Data-Driven Censored Inventory Control

- 基于上下文生成后验采样,利用预训练模型在线生成潜在需求
- 理论证明后悔值受离线预测误差影响,随时间增长缓慢
- 实测在真实数据上优于传统方法,尤其在高截断场景下表现强
我们研究具有决策依赖截断的库存控制问题,聚焦重复新书商(R-NV)场景,其中每次订单量决定需求是否被完整观测或被销售截断。现有基于参数化汤普森采样(TS)的方法在先验不匹配时易失效,而离线填补方法难以迁移至在线学习。受决策预测视角启发,我们提出上下文生成后验采样(ICGPS),通过在学习到的潜在需求补全上执行预言动作。ICGPS利用在离线阶段元训练的生成模型,线上通过上下文自回归生成部署。理论上,我们证明了使用学习到的补全核时,ICGPS的贝叶斯后悔值不超过理想补全核下TS基准的后悔值,加上一个随√T增长的部署惩罚项,与补全偏差的平方根成正比。该结果为已知TS后悔界的问题提供可插拔模板。针对R-NV,我们通过将截断反馈转化为凸优化反馈,导出次线性贝叶斯后悔。在合理覆盖与稳定性假设下,线上补全偏差由离线截断预测误差控制,即离线预测质量可传递至在线性能。实践中,我们以ChronosFlow实例化ICGPS,结合冻结的时间序列变换器骨干与可训练的条件归一化流头部,实现快速且一致的截断采样。基准实验显示,ChronosFlow-ICGPS在正确设定下媲美标准TS,优于短视和UCB类基线,并对先验不匹配和分布漂移具有鲁棒性。在真实世界SuperStore数据集上也表现优异,尤其在重截断条件下。
原文摘要 · Abstract (English)
We study inventory control with decision-dependent censoring, focusing on the censored or repeated newsvendor (R-NV), where each order quantity determines whether demand is fully observed or censored by sales. Existing approaches based on parametric Thompson sampling (TS) can be brittle under prior mismatch, while offline imputation methods need not transfer to online learning. Motivated by the predictive view of decision making, we combine these ideas by taking oracle actions on learned completions of latent demand. We propose in-context generative posterior sampling (ICGPS), which uses modern generative models that are meta-trained offline and deployed online by in-context autoregressive generation. Theoretically, we show that the Bayesian regret of ICGPS with a learned completion kernel is bounded by the Bayesian regret of a TS benchmark with the ideal completion kernel plus a deployment penalty scaling as $\sqrt{T}$ times the square root of the completion mismatch. This yields a plug-in template for operational problems with known TS regret bounds. For R-NV, we derive sublinear Bayesian regret by reducing censored feedback to bandit convex optimization feedback. We also show that, under reasonable coverage and stability assumptions, the online completion mismatch is controlled by the offline censored predictive mismatch, so offline predictive quality transfers to online performance. Practically, we instantiate ICGPS with ChronosFlow, which combines a frozen time-series transformer backbone with a trainable conditional normalizing-flow head for fast censoring-consistent sampling. In benchmark experiments, ChronosFlow-ICGPS matches correctly specified TS, outperforms myopic and UCB-style baselines, and is robust to prior mismatch and distribution shift. ChronosFlow-ICGPS also performs well for the real-world SuperStore dataset, especially under heavy censoring.
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