I agree with everything Maribeth has listed - and going along with a "cost-out" plan:
Set a new company policy - that before money is spent, a person must provide an invoice for anticipated expenses before the purchase is made. If the invoice is not signed off on before purchases are made, then expenses will not be reimbursed. Period.
This will either force the director to A) find something that works within the budget or B) the director gives up the buying power and defaults to someone who can work within a budget to make purchases. Either way, by setting a company policy of "pre-approval before purchasing to guarantee reimbursement" will hopefully reign the director in.
It isn't that difficult, but it can be a little time consuming. When I have not been informed of budget numbers, I make a list of what I need for a show, price everything out and turn in a projected expense report/invoice. If it doesn't get approved, I don't make the purchase, and I let management know that what we won't have. Then we do 1 of 3 things 1) Find money elsewhere for the purchase 2) Figure out another way to obtain said item(s) or 3) Figure out a way to do without.