一种多损失条件风险值的双层规划模型及应用

发布时间：2018-01-28 04:47

本文关键词： 多损失条件风险值双层规划最优解供应链　出处：《系统工程理论与实践》2013年04期 　论文类型：期刊论文

【摘要】：在两级供应链中制造商与零售商之间的多产品定价与订购问题,是一个多损失的双层风险决策问题,可以建立双层规划模型解决.本文研究了一种多损失条件风险值的双层规划模型,对于多个损失函数和对应的权值水平,在给定的置信水平下,定义了不超过给定损失值的最小风险值(即VaR值)和对应的累积期望损失值(即CVaR损失值)概念,然后建立了一个多损失条件风险值的双层规划模型,该模型的目标是求上下层的多损失CVaR值达最小的最优策略,我们证明了它可以通过另一个较容易求解的双层规划模型获得最优解.最后,给出了两级供应链中多产品的定价与订购的双层条件风险值模型,通过对2种面包产品销售数据进行计算,获得了面包制造商的最优批发价和最优回购策略,及零售商最优订购量.
[Abstract]:The problem of multi-product pricing and ordering between manufacturers and retailers in a two-level supply chain is a double-level risk decision problem with multiple losses. A bilevel programming model with multiple loss condition risk values is studied in this paper. For multiple loss functions and corresponding weight levels, under the given confidence level. The concept of minimum risk value (i.e. VaR value) and corresponding cumulative expected loss value (CVaR loss value) not exceeding a given loss value is defined. Then a bilevel programming model with multi-loss condition risk value is established. The goal of the model is to find the optimal strategy with minimum multi-loss CVaR value of the upper and lower layers. We prove that the optimal solution can be obtained by another bilevel programming model, which is easy to solve. Finally, a two-tier conditional risk value model for pricing and ordering of multi-products in a two-level supply chain is presented. By calculating the sales data of two kinds of bread products, the optimal wholesale price, the optimal repurchase strategy and the optimal order quantity of the retailers are obtained.
【作者单位】：浙江工业大学经贸管理学院;
【基金】：国家自然科学基金(71001089)
【分类号】：F224;F274
【正文快照】： 1引言在供应链中制造商与销售商之间的产品采购问题是一个双层风险决策间题，可以用Stackelberg模型(即双层规划)求解[‘].双层规划是研究和解决多层决策的重要工具，并已得到广泛研究!“一4}.然而，，双层风险决策模型的理论研究远没有单层风险决策模型那么多，这是由于双层风

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