Copula-CVaR下考虑随机成本和需求的单周期订货决策研究

不确定环境下的单周期最优订货量决策具有重要且广泛的应用价值。与传统的仅考虑需求不确定性的报童模型不同,本文考虑市场价格恒定,但成本和需求随机变化且相关联下的报童决策问题。为此,采用Copula函数构建成本和需求之间的关联,考虑决策者可能具有的风险态度,建立了相应的Copula-CVaR模型,证明了模型解的存在性和唯一性,并将模型离散化为易求解的线性规划问题。最后,通过不同的风险水平和多种Copula函数下的仿真,分析了随机成本与需求的相关性和波动性对最优决策结果影响,并得到相关结论,为相关企业决策提供依据。

Decision on Single-Period Opti mal Order Quantity by Using Copu la-CVaR Based on Stochastic Cost and Price

The decision of single-period optimal order quantity under uncertain environment is a very important issue which has been widely applied.Different from the traditional newsvendor model concerning uncertain demand merely,a newsvendor decision-making problem under given price and stochastic and correlative demand and cost is investigated in this paper.Therefore,a corresponding Copula-CVaR model is proposed,and then,the existence and uniqueness of the solution are proved.Moreover,by discretization,a tractable linear programming model is developed.Finally,the experiment simulation is conducted to analyse the relation between optimal decisions with correlation and violation of uncertain cost and demand under different Copulafunctions and different risk attitudes.Several results are obtained which can provide the guidance for the enterprises.