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Stochastic Programming (stochastic + programming)

Distribution by Scientific Domains
Business, Economics, Finance and Accounting33%

Terms modified by Stochastic Programming

  • stochastic programming model
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    Selected Abstracts

    Resource allocation in satellite networks: certainty equivalent approaches versus sensitivity estimation algorithms

    INTERNATIONAL JOURNAL OF COMMUNICATION SYSTEMS, Issue 1 2005
    Franco Davoli
    Abstract In this paper, we consider a resource allocation problem for a satellite network, where variations of fading conditions are added to those of traffic load. Since the capacity of the system is finite and divided in finite discrete portions, the resource allocation problem reveals to be a discrete stochastic programming one, which is typically NP-hard. We propose a new approach based on the minimization over a discrete constraint set using an estimation of the gradient, obtained through a ,relaxed continuous extension' of the performance measure. The computation of the gradient estimation is based on the infinitesimal perturbation analysis technique, applied on a stochastic fluid model of the network. No closed-forms of the performance measure, nor additional feedback concerning the state of the system, and very mild assumptions on the probabilistic properties about the statistical processes involved in the problem are requested. Such optimization approach is compared with a dynamic programming algorithm that maintains a perfect knowledge about the state of the satellite network (traffic load statistics and fading levels). The comparison shows that the sensitivity estimation capability of the proposed algorithm allows to maintain the optimal resource allocation in dynamic conditions and it is able to provide even better performance than the one reached by employing the dynamic programming approach. Copyright © 2004 John Wiley & Sons, Ltd. [source]

    Risk management for a global supply chain planning under uncertainty: Models and algorithms

    AICHE JOURNAL, Issue 4 2009
    Fengqi You
    Abstract In this article, we consider the risk management for mid-term planning of a global multi-product chemical supply chain under demand and freight rate uncertainty. A two-stage stochastic linear programming approach is proposed within a multi-period planning model that takes into account the production and inventory levels, transportation modes, times of shipments, and customer service levels. To investigate the potential improvement by using stochastic programming, we describe a simulation framework that relies on a rolling horizon approach. The studies suggest that at least 5% savings in the total real cost can be achieved compared with the deterministic case. In addition, an algorithm based on the multi-cut L-shaped method is proposed to effectively solve the resulting large scale industrial size problems. We also introduce risk management models by incorporating risk measures into the stochastic programming model, and multi-objective optimization schemes are implemented to establish the tradeoffs between cost and risk. To demonstrate the effectiveness of the proposed stochastic models and decomposition algorithms, a case study of a realistic global chemical supply chain problem is presented. © 2009 American Institute of Chemical Engineers AIChE J, 2009 [source]

    Addressing the scheduling of chemical supply chains under demand uncertainty

    AICHE JOURNAL, Issue 11 2006
    Gonzalo Guillén
    Abstract A multistage stochastic optimization model is presented to address the scheduling of supply chains with embedded multipurpose batch chemical plants under demand uncertainty. In order to overcome the numerical difficulties associated with the resulting large-scale stochastic mixed-integer-linear-programming (MILP) problem, an approximation strategy comprising two steps, and based on the resolution of a set of deterministic and two-stage stochastic models is presented. The performance of the proposed strategy regarding computation time and optimality gap is studied through comparison with other traditional approaches that address optimization under uncertainty. Results indicate that the proposed strategy provides better solutions than stand-alone two-stage stochastic programming and two-stage shrinking-horizon algorithms for similar computational efforts and incurs much lower computation times than the rigorous multistage stochastic model. © 2006 American Institute of Chemical Engineers AIChE J, 2006 [source]

    A selective newsvendor approach to order management

    NAVAL RESEARCH LOGISTICS: AN INTERNATIONAL JOURNAL, Issue 8 2008
    Kevin Taaffe
    Abstract Consider a supplier offering a product to several potential demand sources, each with a unique revenue, size, and probability that it will materialize. Given a long procurement lead time, the supplier must choose the orders to pursue and the total quantity to procure prior to the selling season. We model this as a selective newsvendor problem of maximizing profits where the total (random) demand is given by the set of pursued orders. Given that the dimensionality of a mixed-integer linear programming formulation of the problem increases exponentially with the number of potential orders, we develop both a tailored exact algorithm based on the L-shaped method for two-stage stochastic programming as well as a heuristic method. We also extend our solution approach to account for piecewise-linear cost and revenue functions as well as a multiperiod setting. Extensive experimentation indicates that our exact approach rapidly finds optimal solutions with three times as many orders as a state-of-the-art commercial solver. In addition, our heuristic approach provides average gaps of less than 1% for the largest problems that can be solved exactly. Observing that the gaps decrease as problem size grows, we expect the heuristic approach to work well for large problem instances. © 2008 Wiley Periodicals, Inc. Naval Research Logistics 2008 [source]

    Modelling hydroclimatic uncertainty and short-run irrigator decision making: the Goulburn system,

    AUSTRALIAN JOURNAL OF AGRICULTURAL & RESOURCE ECONOMICS, Issue 4 2009
    Marnie Griffith
    Australia has an incredibly variable and unpredictable hydroclimate, and while irrigation is designed to reduce risk, significant uncertainty remains in both seasonal water availability (,allocations') and irrigation crop water requirements. This paper explores the nature and impacts of seasonal hydroclimatic uncertainty on irrigator decision making and temporary water markets in the Goulburn system in northern Victoria. Irrigation and water trading plans are modelled for the three seasons of the irrigation year (spring, summer and autumn) via discrete stochastic programming, and contrasted against a perfect information base case. In water-scarce environments, hydroclimatic uncertainty is found to be costly, in terms of both the efficiency of irrigation decisions and the allocation of water via the water market. [source]

    Climate Change and the Economics of Farm Management in the Face of Land Degradation: Dryland Salinity in Western Australia

    CANADIAN JOURNAL OF AGRICULTURAL ECONOMICS, Issue 4 2005
    Michele John
    Projected changes in climate would affect not only the profitability of agriculture, but also the way it is managed, including the way issues of land conservation are managed. This study provides a detailed analysis of these effects for an extensive dryland farming system in south-west Australia. Using a whole-farm linear programming model, with discrete stochastic programming to represent climate risk, we explore the consequences of several climate scenarios. Climate change may reduce farm profitability in the study region by 50% or more compared to historical climate. Results suggest a decline in the area of crop on farms, due to greater probability of poor seasons and lower probability of very good seasons. The reduced profitability of farms would likely affect the capacity of farmers to adopt some practices that have been recommended to farmers to prevent land degradation through dryland salinization. In particular, establishment of perennial pastures (lucerne or alfalfa, Medicago sativa), woody perennials ("oil mallees", Eucalyptus spp.), and salt-tolerant shrubs for grazing ("saltland pastures", Atriplex spp.) may become slightly more attractive in the long run (i.e., relative to other enterprises) but harder to adopt due to their high establishment costs in the context of lower disposable income. Les changements climatiques prévus influeraient non seulement sur la rentabilité de l'agriculture, mais aussi sur la gestion, y compris la façon de gérer les questions de conservation des terres. La présente étude offre une analyse détaillée de ces effets sur un système d'aridoculture extensive dans le sud-ouest de l'Australie. À l'aide d'un modèle de programmation linéaire d'une exploitation, comprenant une programmation stochastique discrète pour représenter le risque lié aux changements climatiques, nous avons examiné les conséquences de plusieurs scénarios climatiques. Dans la région à l'étude, un changement climatique pourrait diminuer la rentabilité d'une exploitation de 50 p. 100 ou plus par rapport au climat historique. Les résultats ont laissé supposer un déclin dans le domaine des cultures, en raison de la probabilité accrue de connaître des saisons médiocres et de la probabilité diminuée de connaître saisons exceptionnelles. Une diminution de la rentabilité des exploitations freinerait probablement la capacité des producteurs à adopter certaines pratiques recommandées pour prévenir la dégradation des sols par la salinisation des terres arides. Certaines pratiques, telles que l'établissement de pâturages de plantes fourragères vivaces (luzerne ou Medicago sativa), de plantes ligneuses vivaces (Eucalyptus) et d'arbustes tolérants au sel (Atriplex), peuvent devenir un peu plus attrayantes à long terme (c'est-à-dire, comparativement à d'autres pratiques), mais également plus difficiles à adopter en raison des coûts d'établissement élevés dans un contexte de faible revenu disponible. [source]