(Q, r) MODEL WITH CVaR(alpha) OF COSTS MINIMIZATION

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dc.citation.journalTitleJournal Of Industrial And Management Optimization
dc.contributor.authorArias Serna, Maria Andrea
dc.contributor.authorPuerta Yepes, Maria Eugenia
dc.contributor.authorEscalante Coterio, Cesar Edinson
dc.contributor.authorArango Ospina, Gerardo
dc.contributor.departmentUniversidad EAFIT. Departamento de Cienciasspa
dc.contributor.researchgroupMatemáticas y Aplicacionesspa
dc.creatorArias Serna, Maria Andrea
dc.creatorPuerta Yepes, Maria Eugenia
dc.creatorEscalante Coterio, Cesar Edinson
dc.creatorArango Ospina, Gerardo
dc.date.accessioned2021-04-12T14:04:21Z
dc.date.available2021-04-12T14:04:21Z
dc.date.issued2017-01-01
dc.description.abstractIn the classical stochastic continuous review, (Q, r) model [18, 19], the inventory cost c(Q, r) has an averaging term which is given as an integral of the expected costs over the different inventory positions during the lead time on any given cycle. The main objective of the article is to study risk averse optimization in the classical (Q, r) model using CVaR(alpha) as a coherent risk measure with respect to the probability distribution of the demand D on inventory position costs (the sum of the inventory holding and backorder penality cost), for any given (generic) confidence level alpha is an element of [0, 1). We show that the objective function is jointly convex in (Q, r). We also compare the risk averse solution and some other solutions in both analytical and computational ways. Additionally, some general and useful results are obtained.eng
dc.identifierhttps://eafit.fundanetsuite.com/Publicaciones/ProdCientif/PublicacionFrw.aspx?id=6222
dc.identifier.doi10.3934/jimo.2016008
dc.identifier.issn15475816
dc.identifier.issn1553166X
dc.identifier.otherWOS;000390104600008
dc.identifier.otherSCOPUS;2-s2.0-85054589723
dc.identifier.urihttp://hdl.handle.net/10784/27702
dc.language.isoengeng
dc.publisherAMER INST MATHEMATICAL SCIENCES-AIMS
dc.relation.urihttps://www.scopus.com/inward/record.uri?eid=2-s2.0-85054589723&doi=10.3934%2fjimo.2016008&partnerID=40&md5=73b1e8316f078fb30c084d4f2e9f492d
dc.rightshttps://v2.sherpa.ac.uk/id/publication/issn/1547-5816
dc.sourceJournal Of Industrial And Management Optimization
dc.subject(Q,r) modeleng
dc.subjectCVaReng
dc.subjectrisk averse optimizationeng
dc.subjectrisk measureeng
dc.subjectinventorymodelseng
dc.title(Q, r) MODEL WITH CVaR(alpha) OF COSTS MINIMIZATIONeng
dc.typearticleeng
dc.typeinfo:eu-repo/semantics/articleeng
dc.typeinfo:eu-repo/semantics/publishedVersioneng
dc.typepublishedVersioneng
dc.type.localArtículospa

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