风险偏好和需求依赖质量状态的报童模型  

Newsboy Problemwith the Risk Preference and Market Demand Dependent on Quality State

作　　者：李胃胜 陈杰 陈志祥[2] LI Wei-sheng;CHEN Jie(School of Science,Hainan Tropical Ocean University,Sanya 572022,China;School of Business,Sun Yat-sen University,Guangzhou 510275,China)

机构地区：[1]海南热带海洋大学理学院,海南三亚572022 [2]中山大学管理学院,广东广州510275

出　　处：《系统工程》2018年第12期135-141,共7页Systems Engineering

基　　金：国家自然科学基金资助项目(71372154;71772191)

摘　　要：本文在质量具有随机波动的环境下,考虑风险态度和市场需求依赖于质量状态的报童问题,并构建了带有CVaR准则的风险厌恶库存模型。同时,利用随机过程中的首达性、遍历性、不可约性等基本属性,提出了随机库存系统在运作和管理过程中的下行风险性与可靠性评估机制。本研究获得几个重要的结论:其一、在随机质量条件下,最优库存订购决策是由各个质量状态的转移概率和决策者的敏感阈值所确定,即当敏感阈值越小时,库存管理者对质量的要求就越高,库存系统的最优期望订购量就越低,否则反之。其二、根据质量水平的统计规律性,给出了多个周期的最优订购策略和期望偏度,以及分析了库存系统的下行风险的稳定性。其三、决策者可以通过本文提出首达风险评估准则刻画随机库存系统的风险变化趋势,以解决供应商的最佳选择问题,从而达到了规避风险的运营目标。In this paper,the newsboy problem with random quality is considered from the views of risk and market demand dependent on quality state,and the risk aversive inventory model with the CVaR criterion.Moreover,based on the essential properties such as the first time arrival,ergodicity,irreducibility in the stochastic process,the assessment mechanism of downside risks and reliability for stochastic inventory system in the process of operations and management is proposed.The research yielded several important conclusions:Firstly,under the stochastic quality condition,the optimal inventory ordering decision is determined by the transition probability of each quality state and the sensitivity threshold of the decision maker,that is,when the threshold of sensitivity is higher,the higher the requirement of the inventory manager on the quality,and the lower the optimal expectation of ordering quantity of the inventory system,or vice versa. Secondly,According to the statistical law of quality level,the optimal ordering strategy and expectation deviation of multiple cycles are given,and the stability of the downside risk of inventory system is analyzed.Thirdly,the risk changing tendency of stochastic inventory system can be characterized by the first time arrival-risk assessment criterion,and to solve the problem of supplier’s best choice,thus the operational goal of avoiding risk is achieved.

关 键 词：随机质量 CVaR准则 报童模型 马尔可夫链 最优订购策略 评估机制 

分 类 号：O211[理学—概率论与数理统计] F253[理学—数学]