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Single and multi-period optimal inventory control models with risk-averse constraints

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  • Zhang, Dali
  • Xu, Huifu
  • Wu, Yue

Abstract

This paper presents some convex stochastic programming models for single and multi-period inventory control problems where the market demand is random and order quantities need to be decided before demand is realized. Both models minimize the expected losses subject to risk aversion constraints expressed through Value at Risk (VaR) and Conditional Value at Risk (CVaR) as risk measures. A sample average approximation method is proposed for solving the models and convergence analysis of optimal solutions of the sample average approximation problem is presented. Finally, some numerical examples are given to illustrate the convergence of the algorithm.

Suggested Citation

  • Zhang, Dali & Xu, Huifu & Wu, Yue, 2009. "Single and multi-period optimal inventory control models with risk-averse constraints," European Journal of Operational Research, Elsevier, vol. 199(2), pages 420-434, December.
    • Handle: RePEc:eee:ejores:v:199:y:2009:i:2:p:420-434
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    References listed on IDEAS

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