四川师范大学
四川师范大学 Sichuan Normal University
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A Risk- and Ambiguity-Averse Extension of the Max-Min Newsvendor Order Formula

2017年08月31日  来源:  浏览:136次
讲座题目:A Risk- and Ambiguity-Averse Extension of the Max-Min Newsvendor Order Formula
讲座时间:2017/9/1 16:30:00
讲座地点:6教811
主办单位:数学与软件科学学院
主讲人 :韩乔明
主讲人简介:
韩乔明,浙江财经大学教授,1997年毕业于南京大学计算数学专业,获博士学位。多次到国外大学访问交流。主要从事最优化理论算法及其应用方面的研究工作,获得一些研究结果。部分结果发表在本领域国际一流学术期刊《Operations Research》和《Mathematical Programming》上。承担和主持过多项国家自然基金的研究工作。



Scarf’s max-min order formula for the risk-neutral and ambiguity-averse newsvendor problem is a classical result in the field of inventory management. In this article, we extend Scarf’s formula by deriving an analogous closed-form order formula for the risk- and ambiguity-averse newsvendor problem. Specifically, we provide and analyze the newsvendor order quantity that maximizes the worst-case expected profit versus risk trade-off (risk-averse) when only the mean and standard deviation of the product’s demand distribution are known (ambiguity-averse), and the risk is measured by the standard deviation of the newsvendor’s profit. We provide both analytical and numerical results to illustrate the combined effect of considering risk aversion and ambiguity aversion in computing the newsvendor order.