KMS Of Academy of mathematics and systems sciences, CAS
Robust Optimization for the Loss-Averse Newsvendor Problem | |
Yu, Hui1; Zhai, Jia2; Chen, Guang-Ya3 | |
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. |
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