published_or_final_version / abstract / Industrial and Manufacturing Systems Engineering / Doctoral / Doctor of Philosophy

abstract / Industrial and Manufacturing Systems Engineering / Doctoral / Doctor of Philosophy

published_or_final_version / Industrial and Manufacturing Systems Engineering / Doctoral / Doctor of Philosophy

published_or_final_version / Industrial and Manufacturing Systems Engineering / Doctoral / Doctor of Philosophy

The procurement of commodity materials for production is an important issue in supply chain management. Effective procurement should consider both uncertain customer demand and fluctuating commodity price which, when act together, give rise to the procurement risk. To protect the bottom line, a manufacturer has to plan its procurement activities with special attention given to such procurement risk. Existing research has studied the use of exchange market-traded commodities in mitigating procurement risk. This study addresses the case of a manufacturer with long-term procurement commitments who wishes to hedge against the risk exposure by using long-dated futures contracts. In the commodities markets, however, long-dated futures are often illiquid or even unavailable, thus making the hedge ineffective. Alternatively, in a stack-and-roll hedge, the hedging positions are rolled forward in actively traded short-dated futures contracts of equal maturity until the procurement is executed. This in effect replicates the long-term futures contract in performing a hedge. This study therefore aims at developing a dynamic stack-and-roll approach that can effectively manage the long maturity procurement risk. The proposed dynamic stack-and-roll approach is inherently a discrete-time hedging strategy that divides the procurement planning horizon into multiple decision stages. The nearby futures are adopted as the short-dated futures as they are typically liquid. The hedging positions are adjusted periodically in response to the commodity price behaviour and updated information about the forward customer demand. For a manufacturer who wishes to mitigate the procurement risk as well as maximise the terminal revenue after the procurement, the mean-variance objective function is employed to model the manufacturer’s risk aversion behaviour. Then, a dynamic program formulation of the approach is presented for determining a closed-form expression of the optimal hedging positions. Notice that the hedging policy is a time-consistent mean-variance policy in discrete-time, in contrast to the existing discrete hedging approaches that employ minimum-variance policies. In this study, the commodity prices are modelled by a fractal nonlinear regression process that employs a recurrent wavelet neural network as the nonlinear function. The purpose of this arrangement is to incorporate the fractal properties discovered in commodity prices series. In the wavelet transform domain, fractal self-similarity and self-affinity information of the price series over a certain time scale can be extracted. The Extended Kalman Filter (EKF) algorithm is applied to train the neural network for its lower training error comparing with classical gradient descent algorithms. Monthly returns and volatility of commodity prices are estimated by daily returns data in order to increase the estimation accuracy and facilitate effective hedging. The demand information is updated stage by stage using Bayesian inference. The updating process are defined and adapted to a filtration, which can be regarded as the information received at the beginning of each decision stage. Numerical experiments are carried out to evaluate the performance of the proposed stack-and-roll approach. The results show that the proposed approach robustly outperforms other hedging strategies that employ minimum-variance or naïve policies, and effectively mitigate the procurement risk. / published_or_final_version / Industrial and Manufacturing Systems Engineering / Doctoral / Doctor of Philosophy

The profitability of a manufacturer could be largely affected by underlying uncertainties embedded in the fast-changing business environment. Random factors, such as input material price at the procurement end or output product price and demand at the sales end, might produce significant risks. Effective financial hedging therefore needs to be taken to mitigate these risk exposures. Although it is common to use commodity futures to control the risks at either end separately, little has been done on the hedging of these risk exposures in an integrated manner. Therefore, this study aims to develop a planning approach that performs financial hedging on both the procurement risk and the sales risk in a joint manner. This planning approach is based on a framework that has a risk-averse commodity processor that procures input commodity and sells output commodity in the spot market, while hedging the procurement risk and sales risk through trading futures contracts in the commodity markets. Both the input and output commodities futures are used for the hedging. A both-end-hedging model is developed to quantitatively evaluate the approach. The evaluation is based on an objective function that considers both profit maximisation and risk mitigation. Decisions on spot procurement, input futures hedging position, and output futures hedging position are optimised simultaneously. As the input commodity is the main production material for the output commodity, positive correlation between the input material price and the output product price is considered. The customer demand is considered negatively correlated with the output product price. An ethanol plant using corn as the main input material is employed as an example to implement the proposed model. The model is represented as a stochastic program, and the Gibson-Schwartz two-factor model is employed to describe the stochastic commodity prices. Historical commodity price data are used to estimate the parameters for the two-factor model with state-space form and Kalman filter. By generating various scenarios representing evolving prices and the random customer demand, the stochastic program could be solved using linear programming algorithms under its deterministic equivalent. Numerical experiments are carried out to demonstrate the benefit that could be gained from applying the both-end-hedging approach proposed in this study. Comparing with traditional no-hedging model or single-end-hedging models, the improvement obtained from the proposed model is found to be significant. The effectiveness of the model is further tested in various price trend and price correlation, demand elasticity and volatility, and risk attitude of the decision maker. It is found that the proposed approach is robust in these various circumstances, and the approach is especially effective when the price trend is uncertain and when the decision maker has a strong risk-averse attitude. / published_or_final_version / Industrial and Manufacturing Systems Engineering / Master / Master of Philosophy

Las elecciones de los subcontratistas en los proyectos de carreteras del Perú no poseen un procedimiento estandarizado, lo cual conlleva a utilizar distintas técnicas insuficientes para la elección optima del subcontratista. La presente investigación se enfoca en disminuir los sobrecostos ocasionados por los subcontratistas, seleccionando de forma objetiva al subcontratista más adecuado para realizar el proyecto, estableciendo un procedimiento que emplea el análisis multicriterio. Para ello, se aplica este procedimiento a 3 proyectos de carreteras obteniendo una comparación entre el subcontratista seleccionado para la partida de señalización y el obtenido a través de los métodos multicriterio. Para obtener el subcontratista a través de la metodología es necesario realizar 4 procedimientos: El primero, consta en identificar los criterios más importantes para el proyecto y asignar una incidencia con la metodología del proceso analítico jerárquico (AHP). El segundo, reside en recopilar los datos de los subcontratistas postores basado en los criterios seleccionados y evaluarlos. El tercero, se basa en procesar los datos con el Método de organización de clasificación de preferencias para la evaluación de enriquecimiento (PROMETHEE). Por último, con los datos procesados se elabora un ranking de los subcontratistas y se selecciona el de mayor puntaje. La información obtenida de la experiencia realizada se sintetiza en un procedimiento que describe las etapas a seguir para la aplicación del método. / The elections of subcontractors in the road projects of Peru have not been a standardized procedure, which leads to using different techniques that are insufficient for the optimal choice of the subcontractor. The present investigation focuses on reducing the cost overruns caused by subcontractors, selecting objectively the most suitable subcontractor to carry out the project, establishing a procedure that uses multicriteria analysis. Therefore, this procedure is applied to 3 road projects, where a comparison is realized between the subcontractor selected for the works of road signaling and the result through the multicriteria methods. To obtain the subcontractor through the methodology, it is necessary to carry out 4 procedures: The first consists in identifying the most important criterias for the project and giving them an incidence with the methodology of the hierarchical analytical process (AHP). The second one is to collect the data of the bidder subcontractors based on the selected criteria and evaluate them. The third is based on processing the data with the classification method of the functions for the enrichment evaluation (PROMETHEE). Finally, with the data processed, a ranking of the subcontractors is elaborated and the highest score is selected. The information obtained through the experience, is synthesized in a procedure that describes the steps to follow for the application of the method in a road project. / Tesis

Cette thèse porte sur l’optimisation de l’approvisionnement dans les zones géographiquement lointaines. Au moment de planifier des approvisionnements de matières premières ou de composants dans des pays lointains, la longue distance géographique entre l’acheteur et le fournisseur devient un enjeu essentiel à prendre en compte. Puisque le transport se fait souvent par la voie maritime, le délai d’approvisionnement est si long que les besoins peuvent évoluer pendant la longue période de livraison, ce qui peut engendrer un risque de rupture élevé. Cette thèse présente des approches adaptatives afin d’élaborer des plans d’approvisionnements lointains d’une manière rentable. Tout d’abord, nous proposons un cadre d’adaptation de la planification des approvisionnements lointains. Il déploie des techniques de prévision de la demande et des méthodes d’optimisation d’approvisionnements à horizon glissant. En utilisant ce cadre, nous transformons le problème de la planification sur l’horizon globale en plusieurs problèmes standards de lotissement avec demandes stochastiques sur des sous-horizons. Ce cadre permet aussi d’évaluer la performance sur une longue période des méthodes utilisées. Nous considérons ensuite la planification optimale d’approvisionnement sur les sous-horizons. Deux hypothèses de ruptures de stocks sont considérées: livraison tardive et vente perdue (ou sous-traitance). Nous développons des approches optimales ou quasi-optimales pour faire des plans d’approvisionnement tout en minimisant les coûts totaux prévus de commande, de stockage et de rupture sur les sous-horizons. Les méthodes proposées peuvent servir de repères pour évaluer d’autres méthodes. Pour chaque hypothèse, nous menons des expériences numériques pour évaluer les algorithmes développés et les approches adaptatives de planification globales. Les résultats expérimentaux montrent bien leur efficacité. / This research discusses procurement planning problems engaged in global sourcing. The main difficulty is caused by the geographically long distance between buyer and supplier, which results in long lead times when maritime transport is used. Customer demands of finished products usually evolve during the shipment, thus extra costs will be produced due to unpredictable overstocks or stockouts. This thesis presents adaptive planning approaches to make adequate long-distance procurement plans in a cost-efficient manner. Firstly, an adaptive procurement planning framework is presented. The framework deploys demand forecasting and optimal planning in a rolling horizon scheme. In each subhorizon, demands are assumed to follow some known distribution patterns, while the distribution parameters will be estimated based on up-to-date demand forecasts and forecast accuracy. Then a portable processing module is presented to transform the sub-horizon planning problem into an equivalent standard lot-sizing problem with stochastic demands.Secondly, optimal or near-optimal procurement planning methods are developed to minimize expected total costs including setup, inventory holding and stockout penalty in subhorizons. Two extreme stockout assumptions are considered: backorder and lost sale (or outsourcing). The proposed methods can serve as benchmarks to evaluate other methods. Numerical tests have validated the high efficiency and effectiveness of both sub-horizon planning methods and the overall adaptive planning approaches.

This thesis deals with the planning and implementation of construction project by the contractor. In the theoretical part, I wrote the basic concepts of project management, construction participants and temporal models of construction. Furthermore, I focused on the public procurement and its by tendering documentation. In the practical part I focused on a specific project, where I proposed an alternative course of the contract and the contract followed from its very beginning to evaluation.