Optimal Purchasing Strategy Based Risk Utility in Two Periods Inventory Systems under Stochastic Circumstance

SONG Shi-ji; ZHANG Long; WU Cheng; WU Xiao-hui

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Optimal Purchasing Strategy Based Risk Utility in Two Periods Inventory Systems under Stochastic Circumstance

更新时间：2025-07-16

- Optimal Purchasing Strategy Based Risk Utility in Two Periods Inventory Systems under Stochastic Circumstance
- Acta Electronica Sinica Vol. 34, Issue 11, Pages: 2058-2062(2006)
- 作者机构：
  
  清华大学自动化系,北京,100084
- 作者简介：
- 基金信息：
- DOI：
  CLC： F270.5
- Published：2006
- 稿件说明：
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SONG Shi-ji, ZHANG Long, WU Cheng, et al. Optimal Purchasing Strategy Based Risk Utility in Two Periods Inventory Systems under Stochastic Circumstance[J]. Acta Electronica Sinica, 2006, 34(11): 2058-2062.
DOI：

SONG Shi-ji, ZHANG Long, WU Cheng, et al. Optimal Purchasing Strategy Based Risk Utility in Two Periods Inventory Systems under Stochastic Circumstance[J]. Acta Electronica Sinica, 2006, 34(11): 2058-2062. DOI：

摘要

采用损失规避型效用函数来描述销售商对待风险的态度

本文研究了随机市场信息与随机需求的环境下使用批发价格合同的销售商在两周期库存系统中的最优采购策略问题.证明了销售商第二周期的最优采购策略为基准库存策略

分析了第二周期的最优采购量随着第一周期的采购量变化的动态特性.进而给出了销售商在第一周期内最优采购量的解析表示及其最优解的精细下界

分析了每周期的最优采购量与风险规避系数的关系.最后通过仿真试验

验证了本文的结论.

Abstract

Lose averse utility function is adopted to describe retailers' attitude for treating with the risk

the problem concerning with optimal purchasing strategies of retailers in a two-periods inventory systems with wholesale price contract is investigated under the circumstance of stochastic market information and stochastic demand.It is shown that the optimal inventory strategy in the second period is base-stock policy.Then we investigate the dynamic properties of optimal purchasing quantities in the second period

which are determined in term of quantities in the first period.The analytical expression of optimal purchasing quantities with its' tighter lower bound in the first period is then given.The relationship between optimal purchasing quantities and coefficients of risk averse in every period is analyzed.Finally

conclusions of this paper are validated by some simulation experiments.

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