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Robust Optimization for the Loss-Averse Newsvendor Problem

文献类型：期刊论文

作者Yu, Hui1; Zhai, Jia2; Chen, Guang-Ya3
刊名JOURNAL OF OPTIMIZATION THEORY AND APPLICATIONS
出版日期2016-12-01
卷号171期号:3页码:1008-1032
关键词Robust optimization Newsvendor problem Loss aversion
ISSN号0022-3239
DOI10.1007/s10957-016-0870-9
英文摘要In economics and decision theory, loss aversion refers to people's tendency to strongly prefer avoiding losses to acquiring gains. Many studies have revealed that losses are more powerful, psychologically, than gains. We initially introduce loss aversion into the decision framework of the robust newsvendor model, to provide the theoretical guidance and referential decision for loss-averse decision makers when only the mean and variance of the demand distribution are known. We obtain the explicit expression for the optimal order policy that maximizes the loss-averse newsvendor's worst-case expected utility. We find that the robust optimal order policy for the loss-averse newsvendor is quite different from that for the risk-neutral newsvendor. Furthermore, the impacts of loss aversion level on the robust optimal order quantity and on the traditional optimal order quantity are roughly the same.
资助项目Fundamental Research Funds for the Central Universities of China[CDJSK100211] ; Scientific Research Foundation ; Chongqing University of Technology
WOS研究方向Operations Research & Management Science ; Mathematics
语种英语
WOS记录号WOS:000389232900014
出版者SPRINGER/PLENUM PUBLISHERS
源URL[http://ir.amss.ac.cn/handle/2S8OKBNM/24296]  
专题中国科学院数学与系统科学研究院
通讯作者Chen, Guang-Ya
作者单位1.Chongqing Univ, Sch Econ & Business Adm, Chongqing 400030, Peoples R China
2.Chongqing Univ Technol, Sch Business Adm, Chongqing 400054, Peoples R China
3.Chinese Acad Sci, Inst Syst Sci, Beijing 100080, Peoples R China
推荐引用方式
GB/T 7714		 Yu, Hui,Zhai, Jia,Chen, Guang-Ya. Robust Optimization for the Loss-Averse Newsvendor Problem[J]. JOURNAL OF OPTIMIZATION THEORY AND APPLICATIONS,2016,171(3):1008-1032.
APA Yu, Hui,Zhai, Jia,&Chen, Guang-Ya.(2016).Robust Optimization for the Loss-Averse Newsvendor Problem.JOURNAL OF OPTIMIZATION THEORY AND APPLICATIONS,171(3),1008-1032.
MLA Yu, Hui,et al."Robust Optimization for the Loss-Averse Newsvendor Problem".JOURNAL OF OPTIMIZATION THEORY AND APPLICATIONS 171.3(2016):1008-1032.

入库方式： OAI收割

来源：数学与系统科学研究院

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