需求不确定性对条件风险价值约束库存系统的影响  

Impact of demand uncertainty on inventory system with conditional value-at-risk constrain

作　　者：禹海波[1] 

机构地区：[1]北京工业大学经济与管理学院,北京100124

出　　处：《控制与决策》2013年第9期1389-1392,1398,共5页Control and Decision

基　　金：国家自然科学基金面上项目(70971001)

摘　　要：研究风险偏好和需求不确定性对库存系统的影响,证明最优订货量和最优利润关于缺货惩罚成本和风险水平的单调性.利用随机比较方法证明随机大需求导致较高的最优订货量,当不考虑缺货惩罚成本时随机大需求导致较高的最优利润;证明最优利润随需求可变性增加而减少,并给出相应的充分条件与充分必要条件;进一步证明存在一类需求分布,在一定条件下系统利润随需求可变性增加而增加.通过数值例子验证了所得研究结果.The effect of risk aversion and demand uncertainty in inventory system is studied.The monotonicities of the optimal order quantity and optimal profit on penalty cost and risk level are obtained.By using stochastic comparison,larger demand leads to high optimal order quantity,and larger demand leads to higher optimal profit when the penalty cost is set to zero.It is proved that the profit will decrease when the demand variability increases,and the corresponding sufficient conditions and/or necessary and sufficient conditions are given.Furthermore,a class of distributions exist such that larger demand variability leads to higher optimal profit.Several examples are provided to illustrate the obtained results.

关 键 词：风险 不确定性 库存系统 广义TTT变换 随机占优 

分 类 号：C934[经济管理—管理学]