| 基于Bayes方法的炼油厂采购策略 |
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| 引用本文： | 谢智雪,郑力.基于Bayes方法的炼油厂采购策略[J].清华大学学报(自然科学版),2012(4):447-450. |
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| 作者姓名： | 谢智雪 郑力 |
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| 作者单位： | 清华大学工业工程系 |
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| 基金项目： | 国家自然科学基金资助项目(70771058,60834004);国家“八六三”高技术项目(2008AA04Z102) |
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| 摘 要： | 国际原油现货市场价格剧烈波动,炼厂常用的采购策略不能应对由此产生的价格风险,该文针对这一问题提出了采购策略。以最小化总成本现值的期望为目标,根据原油采购的特点建立了动态规划模型,采用随机微积分方法分析了最优静态策略,并引入Bayes决策方法得到了动态策略。利用国际石油市场中某种基准原油近26年的历史价格数据,验证了模型的可行性和有效性。结果表明:基于Bayes方法的采购策略相比炼厂目前使用的策略能显著降低总成本,适用于原油采购问题。
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| 关 键 词： | 延迟支付 周期性盘点 随机需求 库存管理 |
Oil refinery procurement strategies:A Bayesian approach |
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| XIE Zhixue,ZHENG Li.Oil refinery procurement strategies:A Bayesian approach[J].Journal of Tsinghua University(Science and Technology),2012(4):447-450. |
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| Authors: | XIE Zhixue ZHENG Li |
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| Institution: | (Department of Industrial Engineering,Tsinghua University, Beijing 100084,China) |
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| Abstract: | Current oil refinery procurement strategies do not deal well with purchase price uncertainties on the international crude oil spot market with fluctuating prices.A dynamic programming model was developed to minimize the expected present value of the total cost of oil purchases.Stochastic calculus is used to find the static optimal solution,with a Bayesian decision framework then introduced to find the adaptive strategy.Real data for 26 years of historical prices of one marker on the crude spot market was used to test the effectiveness of the Bayesian-based procurement approach.The results show the potential of this strategy for reducing costs compared with current refinery practices. |
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| Keywords: | spot price stochastic dynamic programming Bayesian decision framework oil industry |
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