Single and multi-period optimal inventory control models with risk-averse constraints
Single and multi-period optimal inventory control models with risk-averse constraints
复制标题
DOI：
10.1016/j.ejor.2008.11.047
复制
发表时间：
2009-12
期刊：
影响因子：
--
通讯作者：
Dali Zhang;Huifu Xu;Yue Wu
中科院分区：
文献类型：
--
作者：
Dali Zhang;Huifu Xu;Yue Wu
针对市场需求随机且需要在需求实现前确定订货数量的单周期和多周期库存控制问题，建立了凸随机规划模型。这两种模型都将受风险规避约束的预期损失最小化，风险规避约束通过风险价值（VaR）和条件风险价值（CVaR）作为风险度量。提出了一种求解模型的样本平均逼近法，并给出了样本平均逼近问题最优解的收敛性分析。最后通过数值算例说明了算法的收敛性。
This paper presents some convex stochastic programming models for single and multi-period inventory control problems where the market demand is random and order quantities need to be decided before demand is realized. Both models minimize the expected losses subject to risk aversion constraints expressed through Value at Risk (VaR) and Conditional Value at Risk (CVaR) as risk measures. A sample average approximation method is proposed for solving the models and convergence analysis of optimal solutions of the sample average approximation problem is presented. Finally, some numerical examples are given to illustrate the convergence of the algorithm.