质量涟漪效应下的多周期风险厌恶库存模型  

Multi-period risk-averse inventory system with quality ripple effect

作　　者：陈杰 邢灵博 李胃胜 陈志祥[2] 陈崇萍 CHEN Jie;XING Lingbo;LI Weisheng;CHEN Zhixiang;CHEN Chongping(School of Science,Hainan Tropical Ocean University,Sanya 572022,China;School of Business,Sun Yat-sen University,Guangzhou 510275,China;School of Politics and Public Administration,South China Normal University,Guangzhou 510006,China)

机构地区：[1]海南热带海洋学院理学院,海南三亚572022 [2]中山大学管理学院,广东广州510275 [3]华南师范大学政治与公共管理学院,广东广州510006

出　　处：《管理工程学报》2023年第6期134-144,共11页Journal of Industrial Engineering and Engineering Management

基　　金：国家自然科学基金资助项目(72061011、71772191);海南省自然科学基金高层次人才资助项目(720RC662)。

摘　　要：本文在质量水平诱发涟漪效应的环境下,考虑带有条件风险价值(CVaR)准则的多周期库存系统的最优控制策略问题,在假设库存系统的供需两侧、价格、残值和风险偏好等因素都为质量水平依赖的条件下,以马尔可夫过程和CVaR准则作为决策方法的导向,构建了质量涟漪效应下的多周期风险厌恶库存模型,并给出了库存系统的最优决策机制。为了分析库存系统所荷载的风险性,本文基于上(下)穿期望幅度、上(下)穿占优、内(外)收益水平、上下穿均衡、收益水平的耦合度等概念,建立了库存系统的上下穿耦合风险评估体系。在一定风险厌恶下,模型的数值结果表明:质量的涟漪效应对库存系统的决策机制具有重要的影响,而随机质量过程的统计结构对最优期望利润曲线的运动趋势发挥着支点性的作用。In the actual operation of the supply chain,the ripple effect induced by the quality imperfection not only affects the supply and demand sides of the inventory system,but also has an important ripple effect on the price,residual value,risk preference and other factors.However,in the case of risk aversion,quality imperfection and multi-period,etc,no one has incorporated the decision concept of“quality ripple effect”into the theoretical framework of inventory decision model with CVaR criterion to carry out the corresponding subject research.Meanwhile,as for the risk decision-making problem of inventory system,although some scholars have studied the reliability of inventory system based on stochastic process,no one has proposed a multi-indicator-based risk-assessment mechanism from the perspective of stochastic process.Therefore,under the assumption that supply and demand,purchase price,wholesale price,residual value,risk preference and other factors all dependent on the quality level,using Markov theory to describe the statistical regularity of quality process,and then a multi-period inventory system decision model with CVaR criterion is proposed.To analyze and assess the level of operational risk in the inventory-management system,based on the concepts of up-crossing/down-crossing expected amplitude,up-crossing/down-crossing dominance,internal or external revenue levels,up-crossing/down-crossing equilibrium,and the coupling degree of revenue level,a multi-indicator-based R assessment mechanism is established.Based on the theory of the new model and the experimental results of numerical examples,the following important conclusions and management insights can be obtained:First,the initial state of the quality level has an important impact on the ordering strategy and expected profit of the inventory system.When the quality level is in a relatively dominant state,the corresponding optimal order quantity and expected profit of the system are also in a relatively dominant level.In the initial state of any quality l

关 键 词：质量的涟漪效应 CVaR准则 多周期库存 马尔可夫链 最优订购策略 

分 类 号：O211.62[理学—概率论与数理统计] F253.4[理学—数学]