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多随从风险决策问题是供应链风险决策中普遍存在的问题,文章研究了风险厌恶下的多随从双层条件风险值模型,引入了多随从上下层决策的VaR损失值(最小风险值)和CVaR损失值(最小风险值对应的条件期望损失值或条件风险价值度量)概念,提出了一种风险厌恶下的多随从双层条件风险值模型,该模型的目标是求上下层的基于权值的多损失CVaR达最小的最优解,文章证明了它可以通过另一个较容易求解的双层规划模型获得最优解的等价性定理.
Multi-follower risk decision-making is a ubiquitous problem in supply chain risk decision-making. This paper studies the multi-pass two-tier conditional risk model under risk aversion and introduces VaR loss (minimum risk) and CVaR (The expected or expected value of risk corresponding to the minimum risk value), a risk-averse multi-follower bi-level conditional risk model is proposed. The goal of this model is to find the weight-based Multi-loss CVaR is the least optimal solution. The paper proves that it can get the equivalence theorem of optimal solution through another bilevel programming model that is easier to solve.