Coalitional Model Applied to Production Planning Based on CVaR Approach

抄録

Predicting revenues from a production it is a difficult problem due to the uncertainty risk deciders have to deal with. Popular functions managing risk for shaping a loss distribution, namely value-at-risk (VaR), conditional value-at-risk (CVaR) have been used. This work, under the framework of cooperative game theory employs linear programming (LP) techniques to obtain Shapley values in order to check the risk in a production planning problem. Periods are interpreted as players and CVaR is defined as the characteristic function to measure the worth of individual players and respective coalitions.