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首页> 外文期刊>Discrete and continuous dynamical systems▼hSeries S >OPTIMIZATION MODEL AND SOLUTION METHOD FOR DYNAMICALLY CORRELATED TWO-PRODUCT NEWSVENDOR PROBLEMS BASED ON COPULA
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OPTIMIZATION MODEL AND SOLUTION METHOD FOR DYNAMICALLY CORRELATED TWO-PRODUCT NEWSVENDOR PROBLEMS BASED ON COPULA

机译：基于Copula的动态相关的两种产品新闻国问题的优化模型及解决方法

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摘要

In this paper, a two-product newsvendor problem is taken into consideration, where the demands of products are correlated random variables and the buyer is risk-averse. Some important qualitative properties of the constructed model are analyzed, particularly the gradient information of the model is obtained and incorporated into solution method of the model. Based on the theory of Copulas, an efficient algorithm, called the feasible-direction based BFGS algorithm, is developed for solution of the constrained optimization model. Case study shows the efficiency of model and algorithm, and numerical results demonstrate that compared with the situation of independent demands, the total order quantity reduces against the high dynamic interrelation coefficient of two demands with the same degree of risk-aversion, and the optimal order quantity decreases as the degree of risk-aversion becomes greater.
机译：在本文中，考虑了两种产品的新闻国会问题，其中产品的需求是相关的随机变量，买方是风险厌恶。分析构建模型的一些重要定性特性，特别是获得模型的梯度信息并将其掺入模型的溶液方法中。基于Copulas理论，为受约束优化模型的解决方案开发了一种称为可行方向的BFGS算法的有效算法。案例研究显示了模型和算法的效率，数值结果表明，与独立需求的情况相比，总订单数量减少了与相同程度的风险厌恶程度的两个需求的高动态相互关系系数，以及最佳顺序随着风险程度的厌恶程度变大，数量降低。

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