摘要
考虑虚拟企业的风险中的随机因素并将其描述为随机变量,提出了一个虚拟企业风险管理的机会约束规划模型.此类模型可以比较好地描述管理者的风险偏好.针对该模型,设计了嵌入蒙特卡洛模拟的粒子群算法,蒙特卡洛模拟是处理模型中随机变量的有效方法.仿真分析表明了该模型对于虚拟企业风险管理的重要作用以及该算法的有效性.
By considering the stochastic factors of risk ：in virtual enterprise （VE） and describing them as random variables, a chance-constraint programming model is proposed for risk management of VE. One of the great advantages of this class of model is that it can exactly describe the risk preference of the manager. A particle swarm optimization combined with Monte Carlo simulation （MCS-PSO） algorithm is designed to solve the proposed model, as Monte Carlo simulation （MCS） is an effective method to deal with those random variable,; in the model. Simulation analysis shows that the proposed model is very useful for risk management of VE and the MCS-PSO algorithm is very efficient.
出处
《信息与控制》
CSCD
北大核心
2009年第4期399-405,共7页
Information and Control
基金
国家自然科学基金资助项目(70671020
70431003
70721001
60673159)
国家863计划资助项目(2007AA041201)
高等学校博士学科点专项科研基金资助项目(20070145017
20060145012)
关键词
虚拟企业
风险管理
随机规划
粒子群算法
蒙特卡洛模拟
virtual enterprise
risk management
stochastic programming
particle swarm optimization
Monte Carlo simulation
