Robust supply chain networks design and ambiguous risk preferences

Guodong Yu, Fei Li and Yu Yang

International Journal of Production Research, 2017, vol. 55, issue 4, 1168-1182

Abstract: In this paper, a robust stochastic optimisation model for regret minimising is proposed for supply chain networks design. The model emphasises the ambiguity lying in both the risk preference and the probability distribution. A duality theory for the model is derived and the random utility functions are identified as the Lagrange multipliers. In addition, a tractable relaxation based on reformulation-linearisation technique is presented for the computational aspects of the model. The numerical experiments show that our regret minimising model can make a well balance between the conservativeness of a pure robust optimisation model and the optimism of risk-neutrality. We also present a case study to demonstrate the applicability of the proposed model.

Date: 2017
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Citations: View citations in EconPapers (8)

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DOI: 10.1080/00207543.2016.1232499

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