CVaR准则下的双层报童问题模型研究

本文以供应商为领导层,零售商为从属层。基于CVaR(Conditional Value-at- Risk)准则,建立了两个双层报童问题模型.对于零售商,在兼顾其利润收益的同时,使用了CVaR风险计量方法对其风险进行了有效监控.然后根据模型中下层规划的特点及已有结论将双层规划模型转换成单层规划进行求解,数值计算结果表明模型是有意义的.

Bilevel Newsvendor Problem Models Based on CVaR

The bilevel newsvendor model based on CVaR (Conditional Vaiue-at- Risk) is presented in this paper,in which the supplier is considered as the decision-maker of the upper level while the retailer as the follower.The retailer's risk can be effectively controlled by applying the CVaR measure.At the same time,his expected profit is also regarded.Since the lower level of the models is a solved problem,we transform the bilevel models into single level ones,by means of which solution of the models can readily obtained.Our models are significative through numerical computation results.