# Can I use an MDP for a stochastic inventory model when my demand distribution is non-stationary?

Most formulations of Markov Decision Processes for stochastic inventory models I've come across assume a fixed demand distribution.

But in my case I have a time series forecast with a non stationary distribution and seasonal behavior. Is it still possible to formulate the problem as an MDP?

• If you have non-stationary demand but use a finite-horizon MDP, then it might make sense. I struggle to envision how an infinite-horizon MDP would make sense since there is no "steady-state." Nov 5 '19 at 13:43