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January
2021, 17(1): 233-259.
doi: 10.3934/jimo.2019109
Multi-stage distributionally robust optimization with risk aversion
| 1. | Business School, University of Shanghai for Science and Technology, Shanghai, China |
| 2. | School of Mathematics and Finance, Chuzhou University, Anhui, China |
| 3. | Academy of Mathematics and Systems Science CAS, Beijing, China |
Two-stage risk-neutral stochastic optimization problem has been widely studied recently. The goals of our research are to construct a two-stage distributionally robust optimization model with risk aversion and to extend it to multi-stage case. We use a coherent risk measure, Conditional Value-at-Risk, to describe risk. Due to the computational complexity of the nonlinear objective function of the proposed model, two decomposition methods based on cutting planes algorithm are proposed to solve the two-stage and multi-stage distributional robust optimization problems, respectively. To verify the validity of the two models, we give two applications on multi-product assembly problem and portfolio selection problem, respectively. Compared with the risk-neutral stochastic optimization models, the proposed models are more robust.
Keywords:
Distributionally robust optimization,
multi-stage,
ambiguity set,
risk aversion,
decomposition algorithm.
Mathematics Subject Classification:
Primary: 90C15; Secondary: 90C90.
Citation:
Ripeng Huang, Shaojian Qu, Xiaoguang Yang, Zhimin Liu. Multi-stage distributionally robust optimization with risk aversion. Journal of Industrial and Management Optimization,
2021, 17
(1)
: 233-259.
doi: 10.3934/jimo.2019109
![]()
References:
| [1] |
S. Ahmed,
Convexity and decomposition of mean-risk stochastic programs, Mathematical Programming, 106 (2006), 433-446.
doi: 10.1007/s10107-005-0638-8. |
| [2] |
P. Artzner, F. Delbaen, J.-M. Eber and D. Heath,
Coherent measures of risk, Mathematical Finance, 9 (1999), 203-228.
doi: 10.1111/1467-9965.00068. |
| [3] |
A. Ben-Tal, D. D. Hertog, A. De Waegenaere, B. Melenberg and G. Rennen,
Robust solutions of optimization problems affected by uncertain probabilities, Management Science, 59 (2013), 341-357.
|
| [4] |
A. Ben-Tal, T. Margalit and A. Nemirovski,
Robust modeling of multi-stage portfolio problems, High Performance Optimization, 33 (2000), 303-328.
doi: 10.1007/978-1-4757-3216-0_12. |
| [5] |
D. Victor, G. Lorenzo and U. Raman,
Optimal versus naive diversification: How inefficient is the 1/n portfolio strategy?, Review of Financial Studies, 22 (2009), 1915-1953.
|
| [6] |
D. P. Bertsekas, Convex Optimization Algorithms, Athena Scientific, Belmont, MA, 2015. |
| [7] |
G. Bayraksan and D. K. Love, Data-driven stochastic programming using phi-divergences, The Operations Research Revolution, INFORMS TutORials in Operations Research, (2015), 1–19.
doi: 10.1287/educ.2015.0134. |
| [8] |
J. R. Birge and F. Louveaux, Introduction to Stochastic Programming, Springer Series in Operations Research and Financial Engineering, Springer, New York, 2011.
doi: 10.1007/978-1-4614-0237-4. |
| [9] |
S. Boyd and L. Vandenberghe, Convex Optimization, Cambridge University Press, Cambridge, 2004.
doi: 10.1017/CBO9780511804441.
|
| [10] |
H. H. Chen and C.-B. Yang,
Multiperiod portfolio investment using stochastic programming with conditional value at risk, Computers and Operations Research, 81 (2017), 305-321.
doi: 10.1016/j.cor.2016.11.011. |
| [11] |
E. Delage and Y. Y. Ye,
Distributionally robust optimization under moment uncertainty with application to data-driven problems, Operations Research, 58 (2010), 595-612.
doi: 10.1287/opre.1090.0741. |
| [12] |
C. I. Fábián, C. Wolf, A. Koberstein and L. Suhl,
Risk-averse optimization in two-stage stochastic models: Computational aspects and a study, SIAM Journal on Optimization, 25 (2015), 28-52.
doi: 10.1137/130918216. |
| [13] |
K. Fan,
Minimax theorems, Proceedings of the National Academy of Sciences of the United States of America, 39 (1953), 42-47.
doi: 10.1073/pnas.39.1.42. |
| [14] |
P. Glasserman, Monte Carlo Methods in Financial Engineering, Applications of Mathematics (New York), 53. Stochastic Modelling and Applied Probability, Springer-Verlag, New York, 2004. |
| [15] |
R. Henrion, C. Küchler and W. Römisch,
Discrepancy distances and scenario reduction in two-stage stochastic mixed-integer programming, Journal of Industrial and Management Optimization, 4 (2008), 363-384.
doi: 10.3934/jimo.2008.4.363. |
| [16] |
J. C. Hull, Options, Futures, and Other Derivatives (Seventh Edition), Pearson Education International, 2009. |
| [17] |
H. T. Huynh and I. Soumare, Stochastic Simulation and Applications in Finance with MATLAB Programs, John Wiley and Sons, 2012.
doi: 10.1002/9781118467374. |
| [18] |
R. W. Jiang and Y. P. Guan,
Risk-averse two-stage stochastic program with distributional ambiguity, Operations Research, 66 (2018), 1390-1405.
doi: 10.1287/opre.2018.1729. |
| [19] |
R. W. Jiang and Y. P. Guan,
Data-driven chance constrained stochastic program, Mathematical Programming, 158 (2016), 291-327.
doi: 10.1007/s10107-015-0929-7. |
| [20] |
B. Li, Y. Rong, J. Sun and K. L. Teo,
A distributionally robust linear receiver design for multi-access space-time block coded MIMO systems, IEEE Transactions on Wireless Communications, 16 (2017), 464-474.
doi: 10.1109/TWC.2016.2625246. |
| [21] |
B. Li, Y. Rong, J. Sun and K. L. Teo,
A distributionally robust minimum variance beam former design, IEEE Signal Processing Letters, 25 (2018), 105-109.
|
| [22] |
B. Li, X. Qian, J. Sun, K. L. Teo and C. J. Yu,
A model of distributionally robust two-stage stochastic convex programming with linear recourse, Applied Mathematical Modelling, 58 (2018), 86-97.
doi: 10.1016/j.apm.2017.11.039. |
| [23] |
B. Li, J. Sun, H. L. Xu and M. Zhang,
A class of two-stage distributionally robust games, Journal of Industrial and Management Optimization, 15 (2019), 387-400.
|
| [24] |
A. Ling, J. Sun, N. H. Xiu and X. G. Yang,
Robust two-stage stochastic linear optimization with risk aversion, European Journal of Operational Research, 256 (2017), 215-229.
doi: 10.1016/j.ejor.2016.06.017. |
| [25] |
Z. M. Liu, S. J. Qu, M. Goh, R. P. Huang and S. L. Wang, Optimization of fuzzy demand distribution supply chain using modified sequence quadratic programming approach, Journal of Intelligent & Fuzzy Systems, (2019). |
| [26] |
D. Love and G. Bayraksan, Phi-divergence constrained ambiguous stochastic programs for data-driven optimization, Optimization Online, (2016). Available from: http://www.optimization-online.org/DB_HTML/2016/03/5350.html. |
| [27] |
F. W. Meng, R. Tan and G. Y. Zhao,
A superlinearly convergent algorithm for large scale multi-stage stochastic nonlinear programming, International Journal of Computational Engineering Science, 5 (2012), 327-344.
doi: 10.1142/9781860949524_0156. |
| [28] |
N. Miller and A. Ruszczyński,
Risk-averse two-stage stochastic linear programming: Modeling and decomposition, Operations Research, 59 (2011), 125-132.
doi: 10.1287/opre.1100.0847. |
| [29] |
J. M. Mulvey and B. Shetty,
Financial planning via multi-stage stochastic optimization, Computers and Operations Research, 31 (2004), 1-20.
doi: 10.1016/S0305-0548(02)00141-7. |
| [30] |
J. M. Mulvey, R. J. Vanderbei and S. A. Zenios,
Robust optimization of large-scale systems, Operations Research, 43 (1995), 264-281.
doi: 10.1287/opre.43.2.264. |
| [31] |
A. Nemirovski and A. Shapiro,
Convex approximations of chance constrained programs, SIAM Journal on Optimization, 17 (2006), 969-996.
doi: 10.1137/050622328. |
| [32] |
S. Nickel, F. Saldanha-Da-Gama and H.-P. Ziegler,
A multi-stage stochastic supply network design problem with financial decisions and risk management, Omega, 40 (2012), 511-524.
doi: 10.1016/j.omega.2011.09.006. |
| [33] |
N. Noyan,
Risk-averse two-stage stochastic programming with an application to disaster management, Computers and Operations Research, 39 (2012), 541-559.
doi: 10.1016/j.cor.2011.03.017. |
| [34] |
W. de Oliveira and C. Sagastizabal,
Level bundle methods for oracles with on demand accuracy, Optimization Methods and Software, 29 (2014), 1180-1209.
doi: 10.1080/10556788.2013.871282. |
| [35] |
L. Pardo, Statistical Inference Based on Divergence Measures, Textbooks and Monographs, 185. Chapman & Hall/CRC, Boca Raton, FL, 2006. |
| [36] |
A. Parisio and C. N. Jones,
A two-stage stochastic programming approach to employee scheduling in retail outlets with uncertain demand, Omega, 53 (2015), 97-103.
|
| [37] |
S. J. Qu, Y. Y. Zhou, Y. L. Zhang, M. Wahab, G. Zhang and Y. Y. Ye,
Optimal strategy for a green supply chain considering shipping policy and default risk, Computers and Industrial Engineering, 131 (2019), 172-186.
doi: 10.1016/j.cie.2019.03.042. |
| [38] |
M. A. Quddus, S. Chowdhury, M. Marufuzzaman, F. Yu and L. Bian,
A two-stage chance-constrained stochastic programming model for a bio-fuel supply chain network, International Journal of Production Economics, 195 (2018), 27-44.
doi: 10.1016/j.ijpe.2017.09.019. |
| [39] |
C. G. Rawls and M. A. Turnquist, Pre-positioning of emergency supplies for disaster response, 2006 IEEE International Symposium on Technology and Society, (2006).
doi: 10.1109/ISTAS.2006.4375894. |
| [40] |
M. I. Restrepo, B. Gendron and L.-M. Rousseau,
A two-stage stochastic programming approach for multi-activity tour scheduling, European Journal of Oerational Research, 262 (2017), 620-635.
doi: 10.1016/j.ejor.2017.04.055. |
| [41] |
A. Rezaee, F. Dehghanian, B. Fahimnia and B. Beamon,
Green supply chain network design with stochastic demand and carbon price, Annals of Operations Research, 250 (2017), 463-485.
doi: 10.1007/s10479-015-1936-z. |
| [42] |
R. T. Rockafellar and S. Uryasev,
Optimization of conditional value-at-risk, Journal of Risk, 2 (2000), 21-41.
doi: 10.21314/JOR.2000.038. |
| [43] |
A. Ruszczyński,
Decomposition methods, Handbooks in Operations Research and Management Science, 10 (2003), 141-211.
doi: 10.1016/S0927-0507(03)10003-5. |
| [44] |
A. Ruszczyński and A. Shapiro,
Optimality and duality in stochastic programming, Handbooks in Operations Research and Management Science, 10 (2003), 65-139.
doi: 10.1016/S0927-0507(03)10002-3. |
| [45] |
T. Santoso, S. Ahmed, M. Goetschalckx and A. Shapiro,
A stochastic programming approach for supply chain network design under uncertainty, European Journal of Operational Research, 167 (2005), 96-115.
doi: 10.1016/j.ejor.2004.01.046. |
| [46] |
A. Shapiro, D. Dentcheva and A. Ruszczyński, Lectures on Stochastic Programming: Modeling and Theory, , MPS/SIAM Series on Optimization, 9. Society for Industrial and Applied Mathematics (SIAM), Philadelphia, PA; Mathematical Programming Society (MPS), Philadelphia, PA, 2009.
doi: 10.1137/1.9780898718751. |
| [47] |
J. Shu and J. Sun, Designing the distribution network for an integrated supply chain, Journal of Industrial and Management Optimization, 2 (2006), 339-349.
doi: 10.3934/jimo.2006.2.339. |
| [48] |
H. L. Sun and H. F. Xu,
Convergence analysis for distributionally robust optimization and equilibrium problems, Mathematics of Operations Research, 41 (2016), 377-401.
doi: 10.1287/moor.2015.0732. |
| [49] |
S. Zymler, D. Kuhn and B. Rustem,
Distributionally robust joint chance constraints with second-order moment information, Mathematical Programming, 137 (2013), 167-198.
doi: 10.1007/s10107-011-0494-7. |
| [50] |
W. Wiesemann, D. Kuhn and M. Sim,
Distributionally robust convex optimization, Operations Research, 62 (2014), 1358-1376.
doi: 10.1287/opre.2014.1314. |
| [51] |
S. S. Zhu and M. Fukushima,
Worst-case conditional value-at-risk with application to robust portfolio management, Operations Research, 57 (2009), 1155-1168.
doi: 10.1287/opre.1080.0684. |
| [52] |
W. N. Zhang, H. Rahimian and G. Bayraksan,
Decomposition algorithms for risk-averse multistage stochastic programs with application to water allocation under uncertainty, Informs Journal on Computing, 28 (2016), 385-404.
doi: 10.1287/ijoc.2015.0684. |
show all references
References:
| [1] |
S. Ahmed,
Convexity and decomposition of mean-risk stochastic programs, Mathematical Programming, 106 (2006), 433-446.
doi: 10.1007/s10107-005-0638-8. |
| [2] |
P. Artzner, F. Delbaen, J.-M. Eber and D. Heath,
Coherent measures of risk, Mathematical Finance, 9 (1999), 203-228.
doi: 10.1111/1467-9965.00068. |
| [3] |
A. Ben-Tal, D. D. Hertog, A. De Waegenaere, B. Melenberg and G. Rennen,
Robust solutions of optimization problems affected by uncertain probabilities, Management Science, 59 (2013), 341-357.
|
| [4] |
A. Ben-Tal, T. Margalit and A. Nemirovski,
Robust modeling of multi-stage portfolio problems, High Performance Optimization, 33 (2000), 303-328.
doi: 10.1007/978-1-4757-3216-0_12. |
| [5] |
D. Victor, G. Lorenzo and U. Raman,
Optimal versus naive diversification: How inefficient is the 1/n portfolio strategy?, Review of Financial Studies, 22 (2009), 1915-1953.
|
| [6] |
D. P. Bertsekas, Convex Optimization Algorithms, Athena Scientific, Belmont, MA, 2015. |
| [7] |
G. Bayraksan and D. K. Love, Data-driven stochastic programming using phi-divergences, The Operations Research Revolution, INFORMS TutORials in Operations Research, (2015), 1–19.
doi: 10.1287/educ.2015.0134. |
| [8] |
J. R. Birge and F. Louveaux, Introduction to Stochastic Programming, Springer Series in Operations Research and Financial Engineering, Springer, New York, 2011.
doi: 10.1007/978-1-4614-0237-4. |
| [9] |
S. Boyd and L. Vandenberghe, Convex Optimization, Cambridge University Press, Cambridge, 2004.
doi: 10.1017/CBO9780511804441.
|
| [10] |
H. H. Chen and C.-B. Yang,
Multiperiod portfolio investment using stochastic programming with conditional value at risk, Computers and Operations Research, 81 (2017), 305-321.
doi: 10.1016/j.cor.2016.11.011. |
| [11] |
E. Delage and Y. Y. Ye,
Distributionally robust optimization under moment uncertainty with application to data-driven problems, Operations Research, 58 (2010), 595-612.
doi: 10.1287/opre.1090.0741. |
| [12] |
C. I. Fábián, C. Wolf, A. Koberstein and L. Suhl,
Risk-averse optimization in two-stage stochastic models: Computational aspects and a study, SIAM Journal on Optimization, 25 (2015), 28-52.
doi: 10.1137/130918216. |
| [13] |
K. Fan,
Minimax theorems, Proceedings of the National Academy of Sciences of the United States of America, 39 (1953), 42-47.
doi: 10.1073/pnas.39.1.42. |
| [14] |
P. Glasserman, Monte Carlo Methods in Financial Engineering, Applications of Mathematics (New York), 53. Stochastic Modelling and Applied Probability, Springer-Verlag, New York, 2004. |
| [15] |
R. Henrion, C. Küchler and W. Römisch,
Discrepancy distances and scenario reduction in two-stage stochastic mixed-integer programming, Journal of Industrial and Management Optimization, 4 (2008), 363-384.
doi: 10.3934/jimo.2008.4.363. |
| [16] |
J. C. Hull, Options, Futures, and Other Derivatives (Seventh Edition), Pearson Education International, 2009. |
| [17] |
H. T. Huynh and I. Soumare, Stochastic Simulation and Applications in Finance with MATLAB Programs, John Wiley and Sons, 2012.
doi: 10.1002/9781118467374. |
| [18] |
R. W. Jiang and Y. P. Guan,
Risk-averse two-stage stochastic program with distributional ambiguity, Operations Research, 66 (2018), 1390-1405.
doi: 10.1287/opre.2018.1729. |
| [19] |
R. W. Jiang and Y. P. Guan,
Data-driven chance constrained stochastic program, Mathematical Programming, 158 (2016), 291-327.
doi: 10.1007/s10107-015-0929-7. |
| [20] |
B. Li, Y. Rong, J. Sun and K. L. Teo,
A distributionally robust linear receiver design for multi-access space-time block coded MIMO systems, IEEE Transactions on Wireless Communications, 16 (2017), 464-474.
doi: 10.1109/TWC.2016.2625246. |
| [21] |
B. Li, Y. Rong, J. Sun and K. L. Teo,
A distributionally robust minimum variance beam former design, IEEE Signal Processing Letters, 25 (2018), 105-109.
|
| [22] |
B. Li, X. Qian, J. Sun, K. L. Teo and C. J. Yu,
A model of distributionally robust two-stage stochastic convex programming with linear recourse, Applied Mathematical Modelling, 58 (2018), 86-97.
doi: 10.1016/j.apm.2017.11.039. |
| [23] |
B. Li, J. Sun, H. L. Xu and M. Zhang,
A class of two-stage distributionally robust games, Journal of Industrial and Management Optimization, 15 (2019), 387-400.
|
| [24] |
A. Ling, J. Sun, N. H. Xiu and X. G. Yang,
Robust two-stage stochastic linear optimization with risk aversion, European Journal of Operational Research, 256 (2017), 215-229.
doi: 10.1016/j.ejor.2016.06.017. |
| [25] |
Z. M. Liu, S. J. Qu, M. Goh, R. P. Huang and S. L. Wang, Optimization of fuzzy demand distribution supply chain using modified sequence quadratic programming approach, Journal of Intelligent & Fuzzy Systems, (2019). |
| [26] |
D. Love and G. Bayraksan, Phi-divergence constrained ambiguous stochastic programs for data-driven optimization, Optimization Online, (2016). Available from: http://www.optimization-online.org/DB_HTML/2016/03/5350.html. |
| [27] |
F. W. Meng, R. Tan and G. Y. Zhao,
A superlinearly convergent algorithm for large scale multi-stage stochastic nonlinear programming, International Journal of Computational Engineering Science, 5 (2012), 327-344.
doi: 10.1142/9781860949524_0156. |
| [28] |
N. Miller and A. Ruszczyński,
Risk-averse two-stage stochastic linear programming: Modeling and decomposition, Operations Research, 59 (2011), 125-132.
doi: 10.1287/opre.1100.0847. |
| [29] |
J. M. Mulvey and B. Shetty,
Financial planning via multi-stage stochastic optimization, Computers and Operations Research, 31 (2004), 1-20.
doi: 10.1016/S0305-0548(02)00141-7. |
| [30] |
J. M. Mulvey, R. J. Vanderbei and S. A. Zenios,
Robust optimization of large-scale systems, Operations Research, 43 (1995), 264-281.
doi: 10.1287/opre.43.2.264. |
| [31] |
A. Nemirovski and A. Shapiro,
Convex approximations of chance constrained programs, SIAM Journal on Optimization, 17 (2006), 969-996.
doi: 10.1137/050622328. |
| [32] |
S. Nickel, F. Saldanha-Da-Gama and H.-P. Ziegler,
A multi-stage stochastic supply network design problem with financial decisions and risk management, Omega, 40 (2012), 511-524.
doi: 10.1016/j.omega.2011.09.006. |
| [33] |
N. Noyan,
Risk-averse two-stage stochastic programming with an application to disaster management, Computers and Operations Research, 39 (2012), 541-559.
doi: 10.1016/j.cor.2011.03.017. |
| [34] |
W. de Oliveira and C. Sagastizabal,
Level bundle methods for oracles with on demand accuracy, Optimization Methods and Software, 29 (2014), 1180-1209.
doi: 10.1080/10556788.2013.871282. |
| [35] |
L. Pardo, Statistical Inference Based on Divergence Measures, Textbooks and Monographs, 185. Chapman & Hall/CRC, Boca Raton, FL, 2006. |
| [36] |
A. Parisio and C. N. Jones,
A two-stage stochastic programming approach to employee scheduling in retail outlets with uncertain demand, Omega, 53 (2015), 97-103.
|
| [37] |
S. J. Qu, Y. Y. Zhou, Y. L. Zhang, M. Wahab, G. Zhang and Y. Y. Ye,
Optimal strategy for a green supply chain considering shipping policy and default risk, Computers and Industrial Engineering, 131 (2019), 172-186.
doi: 10.1016/j.cie.2019.03.042. |
| [38] |
M. A. Quddus, S. Chowdhury, M. Marufuzzaman, F. Yu and L. Bian,
A two-stage chance-constrained stochastic programming model for a bio-fuel supply chain network, International Journal of Production Economics, 195 (2018), 27-44.
doi: 10.1016/j.ijpe.2017.09.019. |
| [39] |
C. G. Rawls and M. A. Turnquist, Pre-positioning of emergency supplies for disaster response, 2006 IEEE International Symposium on Technology and Society, (2006).
doi: 10.1109/ISTAS.2006.4375894. |
| [40] |
M. I. Restrepo, B. Gendron and L.-M. Rousseau,
A two-stage stochastic programming approach for multi-activity tour scheduling, European Journal of Oerational Research, 262 (2017), 620-635.
doi: 10.1016/j.ejor.2017.04.055. |
| [41] |
A. Rezaee, F. Dehghanian, B. Fahimnia and B. Beamon,
Green supply chain network design with stochastic demand and carbon price, Annals of Operations Research, 250 (2017), 463-485.
doi: 10.1007/s10479-015-1936-z. |
| [42] |
R. T. Rockafellar and S. Uryasev,
Optimization of conditional value-at-risk, Journal of Risk, 2 (2000), 21-41.
doi: 10.21314/JOR.2000.038. |
| [43] |
A. Ruszczyński,
Decomposition methods, Handbooks in Operations Research and Management Science, 10 (2003), 141-211.
doi: 10.1016/S0927-0507(03)10003-5. |
| [44] |
A. Ruszczyński and A. Shapiro,
Optimality and duality in stochastic programming, Handbooks in Operations Research and Management Science, 10 (2003), 65-139.
doi: 10.1016/S0927-0507(03)10002-3. |
| [45] |
T. Santoso, S. Ahmed, M. Goetschalckx and A. Shapiro,
A stochastic programming approach for supply chain network design under uncertainty, European Journal of Operational Research, 167 (2005), 96-115.
doi: 10.1016/j.ejor.2004.01.046. |
| [46] |
A. Shapiro, D. Dentcheva and A. Ruszczyński, Lectures on Stochastic Programming: Modeling and Theory, , MPS/SIAM Series on Optimization, 9. Society for Industrial and Applied Mathematics (SIAM), Philadelphia, PA; Mathematical Programming Society (MPS), Philadelphia, PA, 2009.
doi: 10.1137/1.9780898718751. |
| [47] |
J. Shu and J. Sun, Designing the distribution network for an integrated supply chain, Journal of Industrial and Management Optimization, 2 (2006), 339-349.
doi: 10.3934/jimo.2006.2.339. |
| [48] |
H. L. Sun and H. F. Xu,
Convergence analysis for distributionally robust optimization and equilibrium problems, Mathematics of Operations Research, 41 (2016), 377-401.
doi: 10.1287/moor.2015.0732. |
| [49] |
S. Zymler, D. Kuhn and B. Rustem,
Distributionally robust joint chance constraints with second-order moment information, Mathematical Programming, 137 (2013), 167-198.
doi: 10.1007/s10107-011-0494-7. |
| [50] |
W. Wiesemann, D. Kuhn and M. Sim,
Distributionally robust convex optimization, Operations Research, 62 (2014), 1358-1376.
doi: 10.1287/opre.2014.1314. |
| [51] |
S. S. Zhu and M. Fukushima,
Worst-case conditional value-at-risk with application to robust portfolio management, Operations Research, 57 (2009), 1155-1168.
doi: 10.1287/opre.1080.0684. |
| [52] |
W. N. Zhang, H. Rahimian and G. Bayraksan,
Decomposition algorithms for risk-averse multistage stochastic programs with application to water allocation under uncertainty, Informs Journal on Computing, 28 (2016), 385-404.
doi: 10.1287/ijoc.2015.0684. |
Figure 2.
The revenue of multi-product assembly problem with different parameters
Figure 3.
Three-stage scenario tree with 10 different scenarios at each ancestor node
Figure 4.
Comparison of different methods
Figure 5.
Comparison of cumulative wealth with different parameters
Table 1.
The Probability of Different Demand in 10 Scenarios
| Scenario | s1 | s2 | s3 | s4 | s5 | s6 | s7 | s8 | s9 | s10 |
| Product1 | 1253 | 1069 | 1407 | 1125 | 1293 | 1377 | 1265 | 1235 | 1155 | 1327 |
| Product2 | 1350 | 1074 | 1122 | 1308 | 1275 | 1190 | 1390 | 1005 | 1264 | 1345 |
| Product3 | 1446 | 1129 | 1465 | 1237 | 1459 | 1284 | 1467 | 1168 | 1082 | 1374 |
| Product4 | 1480 | 1421 | 1175 | 1176 | 1143 | 1038 | 1065 | 1081 | 1301 | 1225 |
| Product5 | 1274 | 1127 | 1098 | 1416 | 1379 | 1027 | 1284 | 1397 | 1131 | 1041 |
| Probability | 0.1 | 0.1 | 0.1 | 0.1 | 0.1 | 0.1 | 0.1 | 0.1 | 0.1 | 0.1 |
| Scenario | s1 | s2 | s3 | s4 | s5 | s6 | s7 | s8 | s9 | s10 |
| Product1 | 1253 | 1069 | 1407 | 1125 | 1293 | 1377 | 1265 | 1235 | 1155 | 1327 |
| Product2 | 1350 | 1074 | 1122 | 1308 | 1275 | 1190 | 1390 | 1005 | 1264 | 1345 |
| Product3 | 1446 | 1129 | 1465 | 1237 | 1459 | 1284 | 1467 | 1168 | 1082 | 1374 |
| Product4 | 1480 | 1421 | 1175 | 1176 | 1143 | 1038 | 1065 | 1081 | 1301 | 1225 |
| Product5 | 1274 | 1127 | 1098 | 1416 | 1379 | 1027 | 1284 | 1397 | 1131 | 1041 |
| Probability | 0.1 | 0.1 | 0.1 | 0.1 | 0.1 | 0.1 | 0.1 | 0.1 | 0.1 | 0.1 |
Table 2.
The Optimal Solution of Single-stage Multi-product Assembly Problem
| NO. | 1 | 2 | 3 | 4 | 5 | 6 | 7 |
| Pre-order quantity | 8671.6 | 9907.3 | 9975.8 | 8664.7 | 11265 | 11212 | 7439.3 |
| Unused quantity | 0 | 0 | 0 | 0 | 0 | 0 | 0 |
| Units produced | 1250.6 | 1232.3 | 1311.1 | 1210.5 | 1217.4 | - | - |
| NO. | 1 | 2 | 3 | 4 | 5 | 6 | 7 |
| Pre-order quantity | 8671.6 | 9907.3 | 9975.8 | 8664.7 | 11265 | 11212 | 7439.3 |
| Unused quantity | 0 | 0 | 0 | 0 | 0 | 0 | 0 |
| Units produced | 1250.6 | 1232.3 | 1311.1 | 1210.5 | 1217.4 | - | - |
Table 3.
The Optimal Solution of Two-stage Stochastic Multi-product Assembly Problem
| NO. | 1 | 2 | 3 | 4 | 5 | 6 | 7 |
| Pre-order quantity | 8719.4 | 9976.1 | 10008 | 8691.5 | 11304 | 11265 | 7487.1 |
| Unused quantity | 0 | 0 | 0 | 0 | 0 | 0 | 0 |
| Units produced | 1250.6 | 1232.3 | 1316.9 | 1210.5 | 1238.4 | - | - |
| NO. | 1 | 2 | 3 | 4 | 5 | 6 | 7 |
| Pre-order quantity | 8719.4 | 9976.1 | 10008 | 8691.5 | 11304 | 11265 | 7487.1 |
| Unused quantity | 0 | 0 | 0 | 0 | 0 | 0 | 0 |
| Units produced | 1250.6 | 1232.3 | 1316.9 | 1210.5 | 1238.4 | - | - |
Table 4.
The Optimal Solution of Two-stage Distributionally Robust Optimization with Risk Aversion Multi-product Assembly Problem
| NO. | 1 | 2 | 3 | 4 | 5 | 6 | 7 |
| Case 1 |
|||||||
| Pre-order quantity | 8279 | 9568 | 9496 | 8281 | 10744 | 10785 | 7137 |
| Unused quantity | 0 | 0 | 0 | 0 | 0 | 0 | 0 |
| Units produced | 1258 | 1142.3 | 1214.5 | 1175.6 | 1173.1 | - | - |
| Case 2 |
|||||||
| Pre-order quantity | 8556 | 9912 | 9831 | 8546 | 11184 | 11187 | 7402 |
| Unused quantity | 0 | 0 | 0 | 0 | 0 | 0 | 0 |
| Units produced | 1278.6 | 1154 | 1285.3 | 1221.5 | 1231.2 | - | - |
| Case 3 |
|||||||
| Pre-order quantity | 8215 | 9487 | 9452 | 8224 | 10714 | 10723 | 7084 |
| Unused quantity | 0 | 0 | 0 | 0 | 0 | 0 | 0 |
| Units produced | 1245.5 | 1131.2 | 1227.3 | 1166.1 | 1157 | - | - |
| Case 4 |
|||||||
| Pre-order quantity | 8266 | 9550 | 9482 | 8268 | 10729 | 10766 | 7125 |
| Unused quantity | 0 | 0 | 0 | 0 | 0 | 0 | 0 |
| Units produced | 1252.5 | 1141 | 1213.7 | 1174.1 | 1172 | - | - |
| Case 5 |
|||||||
| Pre-order quantity | 8340 | 9625 | 9561 | 8336 | 10808 | 10846 | 7184 |
| Unused quantity | 0 | 0 | 0 | 0 | 0 | 0 | 0 |
| Units produced | 1258.3 | 1156.6 | 1225.5 | 1178 | 1182.7 | - | - |
| Case 6 |
|||||||
| Pre-order quantity | 8262 | 9543 | 9481 | 8263 | 10731 | 10762 | 7122 |
| Unused quantity | 0 | 0 | 0 | 0 | 0 | 0 | 0 |
| Units produced | 1249.2 | 1140.2 | 1218.1 | 1172.1 | 1171.3 | - | - |
| Case 7 |
|||||||
| Pre-order quantity | 8375 | 9678 | 9637 | 8417 | 10952 | 10940 | 7234 |
| Unused quantity | 0 | 0 | 0 | 0 | 0 | 0 | 0 |
| Units produced | 1250.5 | 1141 | 1220.6 | 1235.1 | 1193.5 | - | - |
| Case 8 |
|||||||
| Pre-order quantity | 8300 | 9593 | 9513 | 8299 | 10763 | 10806 | 7156 |
| Unused quantity | 0 | 0 | 0 | 0 | 0 | 0 | 0 |
| Units produced | 1255.6 | 1144 | 1213.7 | 1180.5 | 1181.1 | - | - |
| NO. | 1 | 2 | 3 | 4 | 5 | 6 | 7 |
| Case 1 |
|||||||
| Pre-order quantity | 8279 | 9568 | 9496 | 8281 | 10744 | 10785 | 7137 |
| Unused quantity | 0 | 0 | 0 | 0 | 0 | 0 | 0 |
| Units produced | 1258 | 1142.3 | 1214.5 | 1175.6 | 1173.1 | - | - |
| Case 2 |
|||||||
| Pre-order quantity | 8556 | 9912 | 9831 | 8546 | 11184 | 11187 | 7402 |
| Unused quantity | 0 | 0 | 0 | 0 | 0 | 0 | 0 |
| Units produced | 1278.6 | 1154 | 1285.3 | 1221.5 | 1231.2 | - | - |
| Case 3 |
|||||||
| Pre-order quantity | 8215 | 9487 | 9452 | 8224 | 10714 | 10723 | 7084 |
| Unused quantity | 0 | 0 | 0 | 0 | 0 | 0 | 0 |
| Units produced | 1245.5 | 1131.2 | 1227.3 | 1166.1 | 1157 | - | - |
| Case 4 |
|||||||
| Pre-order quantity | 8266 | 9550 | 9482 | 8268 | 10729 | 10766 | 7125 |
| Unused quantity | 0 | 0 | 0 | 0 | 0 | 0 | 0 |
| Units produced | 1252.5 | 1141 | 1213.7 | 1174.1 | 1172 | - | - |
| Case 5 |
|||||||
| Pre-order quantity | 8340 | 9625 | 9561 | 8336 | 10808 | 10846 | 7184 |
| Unused quantity | 0 | 0 | 0 | 0 | 0 | 0 | 0 |
| Units produced | 1258.3 | 1156.6 | 1225.5 | 1178 | 1182.7 | - | - |
| Case 6 |
|||||||
| Pre-order quantity | 8262 | 9543 | 9481 | 8263 | 10731 | 10762 | 7122 |
| Unused quantity | 0 | 0 | 0 | 0 | 0 | 0 | 0 |
| Units produced | 1249.2 | 1140.2 | 1218.1 | 1172.1 | 1171.3 | - | - |
| Case 7 |
|||||||
| Pre-order quantity | 8375 | 9678 | 9637 | 8417 | 10952 | 10940 | 7234 |
| Unused quantity | 0 | 0 | 0 | 0 | 0 | 0 | 0 |
| Units produced | 1250.5 | 1141 | 1220.6 | 1235.1 | 1193.5 | - | - |
| Case 8 |
|||||||
| Pre-order quantity | 8300 | 9593 | 9513 | 8299 | 10763 | 10806 | 7156 |
| Unused quantity | 0 | 0 | 0 | 0 | 0 | 0 | 0 |
| Units produced | 1255.6 | 1144 | 1213.7 | 1180.5 | 1181.1 | - | - |
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