Stochastic programming approaches for risk aware supply chain network design problems

  • In this paper, a multi-period supply chain network design problem is addressed. Several aspects of practical relevance are considered such as those related with the financial decisions that must be accounted for by a company managing a supply chain. The decisions to be made comprise the location of the facilities, the flow of commodities and the investments to make in alternative activities to those directly related with the supply chain design. Uncertainty is assumed for demand and interest rates, which is described by a set of scenarios. Therefore, for the entire planning horizon, a tree of scenarios is built. A target is set for the return on investment and the risk of falling below it is measured and accounted for. The service level is also measured and included in the objective function. The problem is formulated as a multi-stage stochastic mixed-integer linear programming problem. The goal is to maximize the total financial benefit. An alternative formulation which is based upon the paths in the scenario tree is also proposed. A methodology for measuring the value of the stochastic solution in this problem is discussed. Computational tests using randomly generated data are presented showing that the stochastic approach is worth considering in these type of problems.

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Verfasserangaben:S. Nickel, F. Saldanha-da-Gama, H.-P. Ziegler
URN (Permalink):urn:nbn:de:hbz:386-kluedo-16463
Schriftenreihe (Bandnummer):Berichte des Fraunhofer-Instituts für Techno- und Wirtschaftsmathematik (ITWM Report) (181)
Sprache der Veröffentlichung:Englisch
Jahr der Fertigstellung:2010
Jahr der Veröffentlichung:2010
Veröffentlichende Institution:Fraunhofer-Institut für Techno- und Wirtschaftsmathematik
Datum der Publikation (Server):21.07.2010
Freies Schlagwort / Tag:Supply Chain Management; financial decisions; multi-stage stochastic programming; risk
Fachbereiche / Organisatorische Einheiten:Fraunhofer (ITWM)
DDC-Sachgruppen:5 Naturwissenschaften und Mathematik / 510 Mathematik
Lizenz (Deutsch):Standard gemäß KLUEDO-Leitlinien vor dem 27.05.2011