کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
477152 | 1446139 | 2009 | 15 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Single and multi-period optimal inventory control models with risk-averse constraints
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
مهندسی کامپیوتر
علوم کامپیوتر (عمومی)
پیش نمایش صفحه اول مقاله

چکیده انگلیسی
This paper presents some convex stochastic programming models for single and multi-period inventory control problems where the market demand is random and order quantities need to be decided before demand is realized. Both models minimize the expected losses subject to risk aversion constraints expressed through Value at Risk (VaR) and Conditional Value at Risk (CVaR) as risk measures. A sample average approximation method is proposed for solving the models and convergence analysis of optimal solutions of the sample average approximation problem is presented. Finally, some numerical examples are given to illustrate the convergence of the algorithm.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: European Journal of Operational Research - Volume 199, Issue 2, 1 December 2009, Pages 420–434
Journal: European Journal of Operational Research - Volume 199, Issue 2, 1 December 2009, Pages 420–434
نویسندگان
Dali Zhang, Huifu Xu, Yue Wu,