A practical implementation of stochastic programming: an application to the evaluation of option contracts in supply chains

DOI10.1016/j.automatica.2003.12.008zbMath1116.90385OpenAlexW2022190093MaRDI QIDQ1879584

Jean-Philippe Vial, Christian van Delft

Publication date: 23 September 2004

Published in: Automatica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.automatica.2003.12.008

Mathematics Subject Classification ID

Stochastic programming (90C15) Management decision making, including multiple objectives (90B50) Discrete event control/observation systems (93C65)

Related Items (5)

Inventory control in dual sourcing commodity procurement with price correlation ⋮ Automatic formulation of stochastic programs via an algebraic modeling language ⋮ Staffing a call center with uncertain non-stationary arrival rate and flexibility ⋮ Sharpe-ratio pricing and hedging of contingent claims in incomplete markets by convex programming ⋮ Scenario aggregation for supply chain quantity-flexibility contract

Uses Software

• SLP-IOR
• AMPL

Cites Work

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• Managing manufacturing risks by using capacity options
• SISP: Simplified interface for stochastic programming
• Building and solving large-scale stochastic programs on an affordable distributed computing system
• Scenario tree generation for multiperiod financial optimization of optimal discretization

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