This article reconsiders Gallego's minimax distribution-free procedure. He created a two-point distribution to serve the most unfavorable case for estimating the expected cost of lost sales. We provide a reasonable condition to insure the existence and uniqueness of the optimal solution and the convergence of Gallego's method. © 2006 Elsevier B.V. All rights reserved.
Lin, R., Chouhuang, W. T., Yang, G. K., & Tung, C. T. (2007). An improved algorithm for the minimax distribution-free inventory model with incident-oriented shortage costs. Operations Research Letters, 35(2), 232–234. https://doi.org/10.1016/j.orl.2006.03.009