工业工程与管理系学术报告4.7（报告人：Sungyong Choi PhD）
发布时间: 2010-03-29 02:28:00
题目：A Multi-Product Risk-Averse Newsvendor with Law-Invariant Coherent Measures of Risk
报告人 Sungyong Choi PhD
Department of Management Science and Information Systems at Rutgers,the State University of New Jersey, USA
主持人：侍乐媛 教授
时 间：4月7日（周三）上午10:00
地 点：方正大厦608会议室
报告内容摘要：
A Multi-Product Risk-Averse Newsvendor with Law-Invariant Coherent Measures of Risk” (under the 4th round review at Operations Research)- We consider a multi-product risk-averse newsvendor under the law-invariant coherent measures of risk. We first establish several fundamental properties of the model regarding the convexity of the problem, the symmetry of the solution and the impact of risk aversion. Specifically, we show that for identical products with independent demands, increased risk aversion leads to decreased orders. For a large but finite number of heterogenous products with independent demands, we derive closed-form approximations for the optimal order quantities. The approximations are as simple to compute as the classical risk-neutral solutions. We also show that the risk-neutral solution is asymptotically optimal as the number of products tends to be infinity, and thus risk aversion has no impact in the limit. For a risk-averse two-product newsvendor with dependent demands, we show that positively (negatively) dependent demands lead to a lower (higher) optimal order quantities than independent demands. Using a numerical study, we examine the convergence rates of the approximations and develop additional insights on the interplay of dependent demands and risk aversion.
报告人简介：
Dr. Sungyong Choi is a visiting assistant professor at the department of Management Science and Information Systems at Rutgers, the State University of New Jersey, USA. He received his Ph.D. degree at 2009 from Rutgers. Dr. Choi’s general interest lies in Stochastic Optimization Modeling and Application in Supply Chain Management. Specifically it is the optimal policy of risk-averse decision makers in inventory management. He has a published paper in Operations Research Letters and two working papers in Operations Research and European Journal of Operations Research. He is in-preparation for three work-in-progress papers to target top-tier journals in Operations Research.Dr. Choi teaches Operations Research and Quantitative Methods courses for undergraduate program at Rutgers. He plans to develop other core Industrial Engineering and Management Science courses in undergraduate and graduate levels.Dr. Choi has been actively involved in academic society. He has held an academic membership in INFORMS (Institute for Operations Research and Management Science) since 2006 and DSI (Decision Science Institute) since 2007. He has worked as an ad-hoc reviewer for Operations Research, Journal of Operations Management, Annals of Operations Research, Computers and Operations Research and 2009 and 2010 DSI Annual Conference Proceedings.
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