需求分布不确定条件下的多周期库存鲁棒优化模型

Robust optimization model of multi-period inventory with uncertain demand distribution

在离散需求情景概率不确定的条件下,建立基于最大最小方法的多周期库存鲁棒优化模型.考虑需求分布分别隶属于区间和椭球不确定集两种情形,运用对偶理论将多周期库存鲁棒优化模型转化为易于求解的凸规划问题.数值结果表明,与已知需求分布下的系统最优绩效相比,采用鲁棒订货策略虽然会导致部分绩效损失,但损失值很小,表明基于鲁棒优化的多周期库存订货策略具有良好的鲁棒性,能够有效抑制需求分布不确定性对库存运作绩效的影响.

The robust optimization models for multi-period inventory based on the max-min method are developed under the uncertain discrete demand probability. The interval and ellipsoid uncertain sets which the uncertain demand distribution belongs to are considered, and the multi-period inventory robust optimization models are transformed to tractable convex programmings by using the dual theory. The numerical results show that, comparing to the optimal condition with full distribution information, the robust ordering strategies will lead to performance loss, but the loss is very small. The results show that the multi-period inventory strategies derived by robust optimization has superior robustness, so that can reduce the impact of demand distributional uncertainty on the multi-period inventory operation performance.