突发事件持续时间不确定条件下的WCVaR库存策略

Inventory Strategy under the Uncertain Incident Duration based on WCVaR Approach

持续时间不确定是突发事件的重要特征,然而其影响还鲜有研究。考虑应急决策者的鲁棒行为,以最坏情形CVaR为风险控制目标,刻画了突发事件持续时间不确定和需求波动不确定2个重要特征,研究了这2个不确定因素下的最优库存问题并求解。通过Monte Carlo数值仿真进一步说明该策略的稳健性,能有效防范小概率事件风险。

Uncertain duration is one of the most important features of emergency. However, only a few studies have been conducted on this issue. In this paper, with respect to the robust behavior of the decision maker in emergency, we take worst-case CVaR as the objective to control the risk, depict two important characteristics of uncertain duration and demand volatility, and establish the optimal models for the case considering simultaneously these two characteristics and develop solution mothed. Monte Carlo simulations show that the WCVaR solution is robust and can effectively control the risk of small-probability event.