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一种多随从双层条件风险值模型的等价性定理

沈瑞,蒋敏,孟志青   

  1. 浙江工业大学经贸管理学院, 杭州 310023
  • 出版日期:2015-05-25 发布日期:2015-06-10

沈瑞,蒋敏,孟志青. 一种多随从双层条件风险值模型的等价性定理[J]. 系统科学与数学, 2015, 35(5): 556-565.

SHEN Rui, JIANG Min,MENG Zhiqing. AN EQUIVALENCE THEOREM OF BILEVEL CONDITIONAL VALUE-AT-RISK MODEL OF MULTI-FOLLOWER[J]. Journal of Systems Science and Mathematical Sciences, 2015, 35(5): 556-565.

AN EQUIVALENCE THEOREM OF BILEVEL CONDITIONAL VALUE-AT-RISK MODEL OF MULTI-FOLLOWER

SHEN Rui, JIANG Min ,MENG Zhiqing   

  1. College of Business and Administration, Zhejiang University of Technology, Hangzhou 310023
  • Online:2015-05-25 Published:2015-06-10

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 problems is very popular in risk management of supply chain. This paper studies a bilevel conditional value-at-risk model of multi-follower under risk-averse. We first introduce the concept of VaR loss value (minimum value at risk) and CVaR loss value (minimum risk value corresponding to the loss of value of the conditional expectation or conditional value at risk measure) of multi-follower under risk-averse. We present a bilevel conditional value-at-risk model of multi-follower under risk-averse. The objective is to find out an optimal solution to the model of upper level and lower level value of the CVaR's based on the weights. Then, an equivalence theorem that can be solved more easily through another bilevel programming model to obtain the optimal solution is proved.

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