AFFINELY ADJUSTABLE ROBUST OPTIMIZATION MODEL FOR MULTI-PERIOD PRODUCTION AND INVENTORY SYSTEM UNDER RISK PREFERENCE

Li Zhu; Chunfa Li; Wei Xu

doi:10.11948/2012025

2012 Volume 2 Issue 3

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Li Zhu, Chunfa Li, Wei Xu. AFFINELY ADJUSTABLE ROBUST OPTIMIZATION MODEL FOR MULTI-PERIOD PRODUCTION AND INVENTORY SYSTEM UNDER RISK PREFERENCE[J]. Journal of Applied Analysis & Computation, 2012, 2(3): 341-350. doi: 10.11948/2012025

Citation:

Li Zhu, Chunfa Li, Wei Xu. AFFINELY ADJUSTABLE ROBUST OPTIMIZATION MODEL FOR MULTI-PERIOD PRODUCTION AND INVENTORY SYSTEM UNDER RISK PREFERENCE[J]. Journal of Applied Analysis & Computation, 2012, 2(3): 341-350. doi: 10.11948/2012025

AFFINELY ADJUSTABLE ROBUST OPTIMIZATION MODEL FOR MULTI-PERIOD PRODUCTION AND INVENTORY SYSTEM UNDER RISK PREFERENCE

College of Science, Tianjin University of Technology, NO.391 Binshui Xi Road, Xiqing District, Tianjin, P. O. box 300384, China

Abstract

Abstract

A problem of optimizing multi-period centralized production and inventory system with waste disposal subjected to uncertain demands is investigated in this paper. Assuming limited information of distributions, that is, only the mean, support and some measures of deviations are available for the demand, a joint ellipsoid uncertainty set is constructed to control the degree of conservatism of the production policies associated with the integrated managers risk preference. Using Affinely Adjustable Robust Counterpart method, we develop an uncertain optimization model in pursuit of maximizing the overall revenue through adaptively controlling multi-period production policies, and relax it to one deterministic robust counterpart which is in fact a tractable second order cone problem.
- Multi-period production and inventory /
- affinely adjustable robust counterpart /
- risk preference /
- joint ellipsoid uncertainty set
MSC: 90B05;90C25;90C30

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References

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