随机能力规划的Scenario模型及其决策风险分析  

Scenario-based stochastic capacity planning model and decision risk analysis

作　　者：张人千[1] 王如平[1] 

机构地区：[1]北京航空航天大学经济管理学院,北京100083

出　　处：《系统工程理论与实践》2009年第1期55-63,共9页Systems Engineering-Theory & Practice

基　　金：国家自然科学基金(70501002;70871005);航空科学基金(2007ZG51075)

摘　　要：为研究随机环境下的生产能力扩张问题,采用Scenario方法,建立了市场需求量和产品价格为随机变量的多计划期能力规划决策模型.其中考虑了两种情况:一是能力投资方案不随市场需求的随机实现而变化的预报型模型,二是投资方案可以跟踪市场需求随机实现的适应型模型.算例研究比较了这两种模型的决策效果.进一步,使用下方风险分析,探讨了随机能力扩张的投资决策风险,建立了考虑期望收益风险的预报型能力规划决策模型.该模型在随机规划中加入了一个期望下方风险约束,以反映决策者的风险偏好,基于算例讨论了考虑风险和不考虑风险时的决策差异.In this paper, to study the production capacity expansion decision under uncertain marketing environment, the multi-period capacity planning models are built based on scenario analysis. There are two kinds of models considered： In the predictive model, the capacity investment plan doesn＇t change with the realistic scenarios of the stochastic market. In another one, the adaptive model, decision maker can change his investment project according to the realistic marketing scenarios. Numerical study demonstrates the decision results of these models. Furthermore, the decision risk of investment is discussed by a predictive capacity planning model that integrates the expected revenue risk. Using the downside risk analysis method, the model considers a constraint based on the expected downside risk, which represents the decision maker＇s risk preference. The decision difference between the model with risk and the model without risk is explored by numerical study.

关 键 词：随机能力规划 SCENARIO 期望下方风险 

分 类 号：F273[经济管理—企业管理] C934[经济管理—国民经济]