带有随机生产能力和缺货惩罚的报童模型中的CVaR研究  

CVaR in a Newsvendor Model with Random Capacity and Shortage Cost

作　　者：刘树人[1] 曾珊珊 邓慧 LIU Shu-ren;ZENG Shan-shan;DENG Hui(School of Mathematics and Computational Science,Xiangtan University,Xiangtan 411105 China)

机构地区：[1]湘潭大学数学与计算科学学院,湖南湘潭411105

出　　处：《湘潭大学学报（自然科学版）》2019年第1期93-101,共9页Journal of Xiangtan University(Natural Science Edition)

基　　金：湖南省自然科学基金项目(2019JJ40278)

摘　　要：研究了CVaR风险度量准则下需求和生产能力均随机的报童模型中缺货惩罚对库存决策的影响.利用CVaR风险度量准则,得到带有随机生产能力和缺货惩罚时报童的最优订购量,并发现当有缺货惩罚时,最优订购量依赖于需求的分布、随机生产能力的分布、缺货惩罚的大小和风险规避程度.最后,通过数值算例来验证上述结果 .In this paper,the effect of shortage cost on inventory decision in a newsvendor model with random demand and capacity under CVaR criterion is studied.By using CVaR criterion,the optimal solution of the newsvendor model with random capacity and shortage cost is derired;and that the optimal ordering quantity depends on the shortage cost,the distribution of random demand and capacity,the level of risk aversion are obtained.Finally,numerical examples are given to illustrate above results.

关 键 词：报童问题 风险规避 CVAR 缺货惩罚 随机生产能力 

分 类 号：F274[经济管理—企业管理]