需求不确定性对混合条件风险价值约束供应链系统的影响

发布时间：2018-02-06 00:32

本文关键词： 混合条件风险价值随机比较需求依赖价格供应链协调　出处：《北京工业大学》2014年硕士论文　论文类型：学位论文

【摘要】：科学技术的飞速发展和经济全球化使得企业面临的竞争环境更加复杂多变，同时也使得企业之间的竞争更加激烈。当代商业竞争已不再是企业和企业之间的竞争，而是供应链和供应链之间的竞争。企业之间通过协调契约来满足不确定的市场需求，从而保证供应链中各成员利润之和等于整合供应链最优时的供应链利润已成为了供应链管理的重要手段。同时在实践中，市场需求不确定和供应不确定性往往使企业的收益具有风险性，并且不同的企业对风险的态度也不同，大部分企业因为害怕风险而选择规避风险的行为，同时也有一部分企业经营者认为风险越大收益也越大而追求风险。只有搞清楚风险偏好和市场不确定性对系统决策和收益的影响，才可能更好地实现企业运营的目标，提高企业的运作效率，因此有必要采用混合条件风险价值准则来研究需求不确定性对库存与供应链系统的影响。本文基于混合条件风险价值（CVaR）准则，运用应用概率中随机占优研究了具有一般随机需求和需求依赖价格的报童问题和供应链协调问题。混合CVaR是由最小化CVaR和最大化CVaR通过加权平均的方式得到的，它包括风险规避、风险中性和风险追求三种特殊情形，并引入一个刻画决策者风险态度的“风险偏好系数”。首先对于一般随机需求报童模型，在混合条件风险价值准则约束下，分别从经典报童模型和允许紧急订货报童模型两个角度给出了系统的最优订货量和最优利润的表达式，分析了风险偏好和需求不确定性对系统的影响：在两种报童模型中随机需求越大系统的最优订购量和最优利润就越大；在割准则序意义下需求可变性可能导致较高的最优订购量也可能导致较低的最优订购量；当风险偏好系数大于1时在二阶随机占优下系统最优利润具有随机单调性。其次，对于需求依赖价格且允许紧急订货的报童模型，给出了系统最优价格存在的充分条件和系统最优订购量与最优利润的解析表达式，进一步，利用随机比较方法分别从加法和乘法需求模型两个角度，研究了需求随机大和可变性对系统最优价格，最优订购量和最优利润的影响。最后，研究了由风险中性供应商和混合条件风险价值约束零售商组成具有一般需求的供应链系统，，证明在批发价契约，收益共享契约和回购契约下零售商的最优订货量和利润随风险偏好系数的增加而减小；当风险偏好系数小于1即零售商为风险追求型时，批发价契约能实现供应链协调；无论风险偏好系数大于等于1或小于1，回购契约和收益共享契约均能实现供应链协调。证明在收益共享契约下，随机大需求导致较高的零售商最优利润；当风险偏好系数大于或等于1时，零售商最优利润随需求可变性的增加而减少，这与直观看法一致。回购契约供应链模型有类似的结论。同时给出相应的数值例子验证获得的结果。
[Abstract]:The rapid development of science and technology and economic globalization makes enterprises face more complicated competition environment, but also makes more intense competition among enterprises. Contemporary commercial competition is no longer the competition between enterprise and enterprise, but between supply chain and supply chain competition between enterprises. To meet the uncertain market demand through the contract. In order to ensure the supply chain members and the profit is equal to the optimal integration of supply chain profit of supply chain has become an important means of supply chain management. At the same time, in practice, the uncertain demand and supply uncertainty makes the enterprise profit risk, and enterprises of different attitudes to risk are different, most because of fear of risk and enterprise risk averse behavior, but also a part of the enterprise operators believe that higher risk for more earnings and risk seeking. Only make clear the uncertainty of risk preference and market impact on decision-making system and benefits, it may be better to achieve the goal of business operations, improve the operation efficiency of enterprises, it is necessary to research the demand uncertainty on inventory and supply chain system by using mixed effects of conditional value at risk criteria.
The hybrid based on conditional value at risk (CVaR) criterion, application of probability in stochastic dominance of general stochastic demand and price dependent demand newsboy problem and supply chain coordination problems. Hybrid CVaR is obtained by minimizing CVaR and maximizing the CVaR by weighted average method, which includes risk aversion, risk neutral and risk seeking three special cases, and the introduction of a characterization of the risk attitude of decision-maker "risk preference coefficient". Firstly, for general stochastic demand newsboy model, in the mixed condition risk value criterion constraint, respectively from two angles the classical newsboy model and allow the emergency order newsboy model given the optimal order quantity and optimal profit of the system analysis of the uncertainty of risk preference, and demand the influence on the system: the order quantity and the optimal two random newsboy model in greater demand system The optimal profit is higher; under cut criterion order demand variability may lead to higher optimal order quantity may also lead to the optimal lower order quantity; when the risk preference coefficient is greater than 1 in the two order stochastic dominance under the profit system with stochastic monotonicity. Secondly, demand for depends on the price and permit the newsboy model emergency orders, analytical expressions, sufficient conditions for the existence of optimal price and optimal order quantity and optimal profit is given further, using stochastic comparison method respectively from two angles of additive and multiplicative demand model, studied the stochastic demand and price variability on optimal system, affect the optimal order quantity and optimal profit finally. The study, with a risk neutral supplier and mixed conditional value at risk constraint retailer supply chain system with general demand, in the wholesale price contract, revenue The optimal order quantity and profit sharing increases the risk preference coefficient of retailer contract and buyback contract under decreases; when the risk preference coefficient is less than 1 retail risk seeking, wholesale price contract can achieve supply chain coordination; both the risk preference coefficient is equal to or greater than 1 or less than 1, buyback contract and revenue contract can be achieved supply chain coordination sharing. It was found that the revenue sharing contract under stochastic demand leads to large retailers optimal high profit; when the risk preference coefficient is greater than or equal to 1, the profit increase with the demand of retailers to reduce this variability, and intuitively agree. The buyback contract of supply chain model has the similar conclusion. Numerical examples verify at the same time, the corresponding results obtained.

【学位授予单位】：北京工业大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F274;F224

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