关键词: 条件风险值, 稳健参数设计, 风险规避, Kriging模型

Abstract: Aiming at the risk-averse stochastic simulation optimization problems with multiple responses,by combining robust design approach with conditional value at risk criterion,an optimal strategy of mean-conditional value at risk was proposed based on Kriging model was proposed.Kriging models for mean response and conditional value at risk response were constructed respectively with meta modeling technology,and the decision model of mean-conditional value at risk with risk parameter description was built on this basis.The influence of environment variable's uncertainty on Pareto frontier of multiple responses was measured by bootstrap method,and the influence of different risk parameters on Pareto frontier was also given.The simulation experiment results showed that the proposed approach could dispose the risk-averse stochastic simulation optimization problems with multiple responses effectively.

Key words: conditional value at risk, robust parameter design, risk aversion, Kriging model