规避风险的多阶段最优库存研究
    点此下载全文
引用本文:肖 辉.规避风险的多阶段最优库存研究[J].经济数学,2012,(3):27-31
摘要点击次数: 990
全文下载次数: 157
作者单位
肖 辉 (长沙理工大学 数学与计算科学学院,湖南 长沙 410114) 
中文摘要:基于市场需求是随机的,并且在进行市场销售前,就要确定每个阶段的生产数量的背景下,建立了具有规避风险的多阶段库存凸随机规划模型该模型以最小化损失函数的期望值为目标函数,以规避风险为约束条件,以价值风险 ( VaR )和条件价值风险 ( CVaR )为风险度量;采用样本平均近似方法(SAA)求解该模型,并分析样本平均近似方法的收敛性;最后,给出数值结果.
中文关键词:多阶段库存模型  CVaR  样本平均近似  随机规划  凸规划
 
Multi-Period Optimal Inventory Research with Risk-Averse Constraints
Abstract:We constructed a stochastic convex programming model for multi-period inventory with risk-averse constraints where the market demand is random and the order quantities of each period need to be decided before market selling. This model minimizes the expected loss subject to risk-averse constraints expressed by Value at Risk ( VaR ) and Conditional Value at Risk ( CVaR ) as the risk measures. A sample average approximation ( SAA ) method was proposed to solve the model and convergence analysis of the solutions of SAA was presented. At last, a numerical example was given.
keywords:multi-period inventory model  conditional value at risk  sample average approximation  stochastic programming  convex programming
查看全文   查看/发表评论   下载pdf阅读器