再制造最优生产计划模型的CVaR凸逼近及SAA算法

The CVaR Convex Approximation and SAA Method for Optimal Re-manufacturing Production Planning

研究企业再制造综合生产计划问题,构建了一个更符合实际的带联合概率约束的最优化模型.针对此非凸优化问题求解上的困难,采用CVaR逼近将模型等价转化为凸优化模型,然后运用样本平均近似方法进行求解,证明了算法的收敛性,数值结果表明了模型和算法的有效性.

This paper is mainly considering the problem of optimal integrated production planning of the re-manufacture.We construct a joint probability constrained optimization model for this problem.As for the difficulty of the non-convex in numerical methods,we first convert the model into a convex optimization problem by using a CVaR approximation equivalently.Then a sample average approximation（SAA）method is used to solve the convex approximated model.We prove the convergence of the SAA method and numerical results are given to show the effectiveness of the model and method.