Multi-Loss WCVaR Risk Decision Optimization Based On Weight for Centralized Supply Problem of Direct Chain Enterprises

In recent years, the centralized supply strategy has been widely adopted by direct chain enterprises (DCEs) and become an indispensable means of operation. First, a general probability distribution density function cluster is used to describe the uncertainty demand from all retailers of the DCE. Second, a multi-loss WCVaR centralized supply risk decision optimization robust model based on weight is presented for the DCE. We prove that this model is equivalent to an single-objective optimization model. Finally, we set up a single-period multi-loss WCVaR centralized supply risk decision optimization robust model based on weight for production allocation problem for a centralized-supply direct chain food enterprise. The numerical results illustrate that the DCE may obtain the approximately robust total production volume and the robust retail volume allocated to all retailers, which is the minimal total supply loss for the DCE.

[1]  Masao Fukushima,et al.  Worst-Case Conditional Value-at-Risk with Application to Robust Portfolio Management , 2009, Oper. Res..

[2]  Yiju Wang,et al.  On the conditional and partial trade credit policy with capital constraints: A Stackelberg model , 2016 .

[3]  M. Fukushima,et al.  Portfolio selection with uncertain exit time: A robust CVaR approach , 2008 .

[4]  Takafumi Kanamori,et al.  A robust approach based on conditional value-at-risk measure to statistical learning problems , 2009, Eur. J. Oper. Res..

[5]  Ruozhen Qiu,et al.  Robust inventory decision under distribution uncertainty: A CVaR-based optimization approach , 2014 .

[6]  Alexandre M. Baptista,et al.  A Comparison of VaR and CVaR Constraints on Portfolio Selection with the Mean-Variance Model , 2004, Manag. Sci..

[7]  Xiao-hong Chen,et al.  Optimal ordering quantities for multi-products with stochastic demand: Return-CVaR model , 2008 .

[8]  R. Rockafellar,et al.  Optimization of conditional value-at risk , 2000 .

[9]  Jun-ya Gotoh,et al.  Newsvendor solutions via conditional value-at-risk minimization , 2007, Eur. J. Oper. Res..

[10]  Masao Fukushima,et al.  Portfolio selection under distributional uncertainty: A relative robust CVaR approach , 2010, Eur. J. Oper. Res..

[11]  Yiju Wang,et al.  Optimal replenishment and stocking strategies for inventory mechanism with a dynamically stochastic short-term price discount , 2018, J. Glob. Optim..

[12]  R. Rockafellar,et al.  Conditional Value-at-Risk for General Loss Distributions , 2001 .

[13]  M. Sion On general minimax theorems , 1958 .

[14]  Duan Li,et al.  Robust portfolio selection under downside risk measures , 2009 .