摘要
文章将期权引入供应链优化模型中,在单一购买商和单一供应商框架下,构建一个多期随机需求模型,分析供销双方的优化策略。通过数值模拟计算,说明期权合约给供销双方带来了的极大经济利益,同时给双方带来了很大的订购弹性和生产柔性。文章用AMPL语言进行动态随机规划数学建模,通过CPLEX优化器进行数值计算,得出了供应商和销售商的利润最大化策略及期权价值。
We have using a N-period model investigated the role of options in a single buyer-supplier system. Specifically with correlated stochastic demand, we have illustrated the optimal policy for both sides. The result shows that, contracts with options can bring large economic profil for both parties, and also provide flexibility to the buyer to respond to market changes. In this paper we use AMPL languages to build the simulation model by using the CPLEX solver.
出处
《华中科技大学学报（社会科学版）》
CSSCI
2006年第5期51-56,共6页
Journal of Huazhong University of Science and Technology(Social Science Edition)
基金
国家自然科学基金资助项目(70471043)
关键词
期权
供应链
博弈
随机规划
CPLEX
options
supply chain
game
dynamic stochastic programming
CPLEX
