کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
10348820 | 722800 | 2011 | 13 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
A risk-averse approach to simulation optimization with multiple responses
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موضوعات مرتبط
مهندسی و علوم پایه
مهندسی کامپیوتر
علوم کامپیوتر (عمومی)
پیش نمایش صفحه اول مقاله
چکیده انگلیسی
This article considers risk-averse simulation optimization problems, where the risk measure is the well-known Average Value-at-Risk (also known as Conditional Value-at-Risk). Furthermore, this article combines Taguchi's robustness with Response Surface Methodology (RSM), which results in a novel, robust RSM to solve such risk-averse problems. In case the risk-averse problem is convex, the conic quadratic reformulation of the problem is provided, which can be solved very efficiently. The proposed robust RSM is applied to both an inventory optimization problem with a service-level constraint and a call-center problem; the results obtained for the risk-averse problem and its benchmark problem, where the risk measure is the variance, are intuitively sound and interesting.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Simulation Modelling Practice and Theory - Volume 19, Issue 3, March 2011, Pages 911-923
Journal: Simulation Modelling Practice and Theory - Volume 19, Issue 3, March 2011, Pages 911-923
نویسندگان
Ebru Angün,