Constrained Deep Inventory Management Using Forward-Backward SDEs
We study multi-product replenishment subject to aggregate operating limits imposed pathwise in place of expectation. On-hand and in-transit inventory, warehouse capacity and an emission allowance define a safe set, and the resulting multi-product lost-sales problem is posed as a safe stochastic optimal control problem. The Hamilton--Jacobi--Bellman (HJB) equation is represented as a system of forward--backward stochastic differential equations (FBSDEs) and solved by learning the value function and its gradient, with a quadratic program derived by control barrier function (CBF) is solved at each decision epoch. Because purchase orders enter the in-transit pipeline only, the in-transit constraints have relative degree one while the on-hand constraints have relative degree two. We extend the stochastic high-relative-degree construction of (Clark, 2021) from a single barrier to four coupled aggregate constraints of mixed relative degree, and we establish its initial-condition requirement by design.