A multi-stage stochastic supply network design problem with financial decisions and risk management

被引:128
作者
Nickel, Stefan [1 ,2 ]
Saldanha-da-Gama, Francisco [3 ]
Ziegler, Hans-Peter [1 ]
机构
[1] KIT, Inst Operat Res, Karlsruhe, Germany
[2] Fraunhofer Inst Ind Math ITWM, Kaiserslautern, Germany
[3] Univ Lisbon, Fac Ciencias, DEIO CIO, Lisbon, Portugal
来源
OMEGA-INTERNATIONAL JOURNAL OF MANAGEMENT SCIENCE | 2012年 / 40卷 / 05期
关键词
Stochastic programming; Location; Integer programming; FACILITY LOCATION; PROGRAMMING APPROACH; CHAIN DESIGN; UNCERTAINTY; SYSTEM; MODEL; DECOMPOSITION; STRATEGIES; REDUCTION;
D O I
10.1016/j.omega.2011.09.006
中图分类号
C93 [管理学];
学科分类号
12 ; 1201 ; 1202 ; 120202 ;
摘要
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 types of problems. (C) 2011 Elsevier Ltd. All rights reserved.
引用
收藏
页码:511 / 524
页数:14
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