Robust Optimization for the Loss-Averse Newsvendor Problem

doi:10.1007/s10957-016-0870-9

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	Robust Optimization for the Loss-Averse Newsvendor Problem
	Yu, Hui 1; Zhai, Jia 2; Chen, Guang-Ya 3
	2016-12-01
发表期刊	JOURNAL OF OPTIMIZATION THEORY AND APPLICATIONS
ISSN	0022-3239
卷号	171 期号:3 页码:1008-1032
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.
关键词	Robust optimization Newsvendor problem Loss aversion
DOI	10.1007/s10957-016-0870-9
语种	英语
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
WOS类目	Operations Research & Management Science ; Mathematics, Applied
WOS记录号	WOS:000389232900014
出版者	SPRINGER/PLENUM PUBLISHERS
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/24297
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.