不确定性对混合CVaR约束库存系统的影响

发布时间：2018-01-29 14:04

本文关键词： 不确定性随机比较混合CVaR 报童模型　出处：《运筹与管理》2014年01期 　论文类型：期刊论文

【摘要】：运用应用概率中的随机占优研究需求不确定性对混合CVaR约束库存系统最优订购量和最优利润的影响。引入刻画决策者风险态度的"风险偏好系数",得到系统最优订购量和最优利润关于风险偏好系数的单调性。研究表明随机大需求总会导致系统较高的最优订购量和最优利润;在割准则序意义下,最优订购量可能随需求可变性的增加而增加也可能随需求可变性的增加而减少;在二阶随机占优且风险偏好系数大于等于1的情况下系统最优利润具有随机单调性,然而当风险偏好系数小于1时最优利润在二阶随机占优意义下的结论不一定成立,我们通过一个数值例子来说明。
[Abstract]:Using random dominance in application probability to study the influence of demand uncertainty on optimal order quantity and optimal profit of hybrid CVaR constrained inventory system, a risk preference coefficient is introduced to describe the risk attitude of decision makers. The monotonicity of the risk preference coefficient between the optimal order quantity and the optimal profit is obtained. The research shows that the large demand at random always leads to the higher optimal order quantity and the optimal profit. In the order of cut criterion, the optimal order quantity may increase with the increase of the variability of demand or decrease with the increase of variability of demand. In the case of second-order stochastic dominance and risk preference coefficient greater than or equal to 1, the optimal profit of the system has stochastic monotonicity. However, the conclusion that the risk preference coefficient is less than 1:00 is not necessarily true in the sense of second-order stochastic dominance, we illustrate it by a numerical example.
【作者单位】：北京工业大学经济与管理学院;
【基金】：国家自然科学基金面上项目(70971001)
【分类号】：C934
【正文快照】： 0引言本文研究决策者风险偏好和需求不确定性对混合CVaR约束库存系统最优订购量和最优利润的影响,具体给出比较需求分布不同的两个系统最优订购量和最优利润的充分条件。只有搞清楚风险偏好和市场需求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目标,提高企业运

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