(Q,r) model with CVaRα of costs minimization
Cargando...
Archivos
Compartir
Fecha
Título de la revista
ISSN de la revista
Título del volumen
Editor
AIMS - American Institute of Mathematical Sciences
Resumen
Descripción
In the classical stochastic continuous review, (Q,r) model [18,19], the inventory cost c(Q,r) has an averaging term which is given as an integral of the expected costs over the different inventory positions during the lead time on any given cycle. The main objective of the article is to study risk averse optimization in the classical (Q,r) model using CVaRα as a coherent risk measure with respect to the probability distribution of the demand D on inventory position costs (the sum of the inventory holding and backorder penality cost), for any given (generic) confidence level α∈[0,1). We show that the objective function is jointly convex in (Q,r). We also compare the risk averse solution and some other solutions in both analytical and computational ways. Additionally, some general and useful results are obtained.
Palabras clave
(Q,r) model, CVaR, Risk averse optimization, Risk measure, Inventory models
Citación
Arias Serna, M. A.; Puerta Yepes, M. E.; Escalante Coterio, C. E. & Arango Ospina, G. (2017).(Q; r) Model with CV aR of costs minimization. Journal of industrial and management optimization. Volume 13, number 1, pp. 135-146