| 基于在险价值的物流网络规划模糊两阶段模型与精确求解方法 |
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| 引用本文： | 王珂,杨艳,周建.基于在险价值的物流网络规划模糊两阶段模型与精确求解方法[J].运筹与管理,2020,29(2):88-107. |
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| 作者姓名： | 王珂 杨艳 周建 |
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| 作者单位： | 上海大学 管理学院,上海 200444 |
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| 基金项目： | 国家自然科学基金资助项目(71501123);教育部人文社会科学研究项目(14YJC630124,18YJA630152)。 |
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| 摘 要： | 针对物流网络规划问题中顾客需求和运输成本的不确定性,使用在险价值量化投资风险,建立了以投资损失的在险价值最小化为目标的模糊两阶段物流网络规划模型。对于模型中不确定参数均为规则模糊数的这一类模糊两阶段规划模型,本文通过理论分析和证明将其转化为等价的确定一阶段规划模型进行求解,从而将无穷维的优化问题转化为有限维的经典优化问题,降低了计算难度且得到了模型的精确解。不同规模的数值实验证实了所提出模型及其求解方法的有效性。
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| 关 键 词： | 物流网络规划 模糊两阶段规划 在险价值 损失分布 |
| 收稿时间： | 2018-08-20 |
Value-at-Risk-based Fuzzy Two-stage Model for Logistics Network Planning and Its Accurate Solution Approach |
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| WANG Ke,YANG Yan,ZHOU Jian.Value-at-Risk-based Fuzzy Two-stage Model for Logistics Network Planning and Its Accurate Solution Approach[J].Operations Research and Management Science,2020,29(2):88-107. |
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| Authors: | WANG Ke YANG Yan ZHOU Jian |
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| Affiliation: | School of Management, Shanghai University, Shanghai 200444, China |
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| Abstract: | A fuzzy two-stage programming model with Value-at-Risk(VaR)criterion is proposed for controlling the investment risk in logistics network planning,considering the uncertainty of customer demands and transportation costs.The objective is to minimize the VaR of investment loss.It is proved that the fuzzy two-stage programming model involving regular fuzzy parameters can be transformed into an equivalent deterministic one-stage program-ming model,thus the infinite-dimensional optimization problem can be converted to a classical finite-dimensional problem,by which the computational complexity of solving the two-stage model is significantly decreased and meanwhile exact solutions can be obtained.Numerical examples with different sizes illustrate the effectiveness of the proposed model and solution approach. |
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| Keywords: | logistics network planning fuzzy two-stage programming Value-at-Risk loss distribution |
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