Robust Newsvendor Problems: Effect of Discrete Demands

Distribution-free newsvendor models often assume continuous demand distributions to facilitate analysis and computation. However, in practice, discrete demand is a natural phenomenon. So far, there exists no analytical and computational results in the literature under this setting. Thus, the goal of this paper is to investigate the newsvendor problems with partial information when the demand is discrete and solve them using the so-called discrete moment problems . Numerical results are presented to illustrate the value of discrete information.