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Integrated Tactical-Operational Supply Chain Planning with Stochastic Dynamic ConsiderationsFakharzadeh-Naeini, Hossein 24 November 2011 (has links)
Integrated robust planning systems that cover all levels of SC hierarchy have become increasingly important. Strategic, tactical, and operational SC plans should not be generated in isolation to avoid infeasible and conflicting decisions. On the other hand, enterprise planning systems contain over millions of records that are processed in each planning iteration. In such enterprises, the ability to generate robust plans is vital to their success because such plans can save the enterprise resources that may otherwise have to be reserved for likely SC plan changes. A robust SC plan is valid in all circumstances and does not need many corrections in the case of interruption, error, or disturbance. Such a reliable plan is proactive as well as reactive. Proactivity can be achieved by forecasting the future events and taking them into account in planning. Reactivity is a matter of agility, the capability of keeping track of system behaviour and capturing alarming signals from its environment, and the ability to respond quickly to the occurrence of an unforeseen event. Modeling such a system behaviour and providing solutions after such an event is extremely important for a SC.
This study focuses on integrated supply chain planning with stochastic dynamic considerations. An integrated tactical-operational model is developed and then segregated into two sub-models which are solved iteratively. A SC is a stochastic dynamic system whose state changes over time often in an unpredictable manner. As a result, the customer demand is treated as an uncertain parameter and is handled by exploiting scenario-based stochastic programming. The increase in the number of scenarios makes it difficult to obtain quick and good solutions. As such, a Branch and Fix algorithm is developed to segregate the stochastic model into isolated islands so as to make the computationally intractable problem solvable. However not all the practitioners, planners, and managers are risk neutral. Some of them may be concerned about the risky extreme scenarios. In view of this, the robust optimization approach is also adopted in this thesis. Both the solution robustness and model robustness are taken into account in the tactical model. Futhermore, the dynamic behaviour of a SC system is handled with the concept of Model Predictive Control (MPC).
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Integrated Tactical-Operational Supply Chain Planning with Stochastic Dynamic ConsiderationsFakharzadeh-Naeini, Hossein 24 November 2011 (has links)
Integrated robust planning systems that cover all levels of SC hierarchy have become increasingly important. Strategic, tactical, and operational SC plans should not be generated in isolation to avoid infeasible and conflicting decisions. On the other hand, enterprise planning systems contain over millions of records that are processed in each planning iteration. In such enterprises, the ability to generate robust plans is vital to their success because such plans can save the enterprise resources that may otherwise have to be reserved for likely SC plan changes. A robust SC plan is valid in all circumstances and does not need many corrections in the case of interruption, error, or disturbance. Such a reliable plan is proactive as well as reactive. Proactivity can be achieved by forecasting the future events and taking them into account in planning. Reactivity is a matter of agility, the capability of keeping track of system behaviour and capturing alarming signals from its environment, and the ability to respond quickly to the occurrence of an unforeseen event. Modeling such a system behaviour and providing solutions after such an event is extremely important for a SC.
This study focuses on integrated supply chain planning with stochastic dynamic considerations. An integrated tactical-operational model is developed and then segregated into two sub-models which are solved iteratively. A SC is a stochastic dynamic system whose state changes over time often in an unpredictable manner. As a result, the customer demand is treated as an uncertain parameter and is handled by exploiting scenario-based stochastic programming. The increase in the number of scenarios makes it difficult to obtain quick and good solutions. As such, a Branch and Fix algorithm is developed to segregate the stochastic model into isolated islands so as to make the computationally intractable problem solvable. However not all the practitioners, planners, and managers are risk neutral. Some of them may be concerned about the risky extreme scenarios. In view of this, the robust optimization approach is also adopted in this thesis. Both the solution robustness and model robustness are taken into account in the tactical model. Futhermore, the dynamic behaviour of a SC system is handled with the concept of Model Predictive Control (MPC).
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Stochastic Dynamic Demand Inventory Models with Explicit Transportation Costs and DecisionsZhang, Liqing 16 December 2013 (has links)
Recent supply chain literature and practice recognize that significant cost savings can be achieved by coordinating inventory and transportation decisions. Although the existing literature on analytical models for these decisions is very broad, there are still some challenging issues. In particular, the uncertainty of demand in a dynamic system and the structure of various practical transportation cost functions remain unexplored in detail. Taking these motivations into account, this dissertation focuses on the analytical investigation of the impact of transportation-related costs and practices on inventory decisions, as well as the integrated inventory and transportation decisions, under stochastic dynamic demand.
Considering complicated, yet realistic, transportation-related costs and practices, we develop and solve three classes of models: (1) Pure inbound inventory model impacted by transportation cost; (2) Pure outbound transportation models concerning shipment consolidation strategy; (3) Integrated inbound inventory and outbound transportation models. In broad terms, we investigate the modeling framework of vendor-customer systems for integrated inventory and transportation decisions, and we identify the optimal inbound and outbound policies for stochastic dynamic supply chain systems.
This dissertation contributes to the previous literature by exploring the impact of realistic transportation costs and practices on stochastic dynamic supply chain systems while identifying the structural properties of the corresponding optimal inventory and/or transportation policies. Placing an emphasis on the cases of stochastic demand and dynamic planning, this research has roots in applied probability, optimal control, and stochastic dynamic programming.
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Integrated Tactical-Operational Supply Chain Planning with Stochastic Dynamic ConsiderationsFakharzadeh-Naeini, Hossein 24 November 2011 (has links)
Integrated robust planning systems that cover all levels of SC hierarchy have become increasingly important. Strategic, tactical, and operational SC plans should not be generated in isolation to avoid infeasible and conflicting decisions. On the other hand, enterprise planning systems contain over millions of records that are processed in each planning iteration. In such enterprises, the ability to generate robust plans is vital to their success because such plans can save the enterprise resources that may otherwise have to be reserved for likely SC plan changes. A robust SC plan is valid in all circumstances and does not need many corrections in the case of interruption, error, or disturbance. Such a reliable plan is proactive as well as reactive. Proactivity can be achieved by forecasting the future events and taking them into account in planning. Reactivity is a matter of agility, the capability of keeping track of system behaviour and capturing alarming signals from its environment, and the ability to respond quickly to the occurrence of an unforeseen event. Modeling such a system behaviour and providing solutions after such an event is extremely important for a SC.
This study focuses on integrated supply chain planning with stochastic dynamic considerations. An integrated tactical-operational model is developed and then segregated into two sub-models which are solved iteratively. A SC is a stochastic dynamic system whose state changes over time often in an unpredictable manner. As a result, the customer demand is treated as an uncertain parameter and is handled by exploiting scenario-based stochastic programming. The increase in the number of scenarios makes it difficult to obtain quick and good solutions. As such, a Branch and Fix algorithm is developed to segregate the stochastic model into isolated islands so as to make the computationally intractable problem solvable. However not all the practitioners, planners, and managers are risk neutral. Some of them may be concerned about the risky extreme scenarios. In view of this, the robust optimization approach is also adopted in this thesis. Both the solution robustness and model robustness are taken into account in the tactical model. Futhermore, the dynamic behaviour of a SC system is handled with the concept of Model Predictive Control (MPC).
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Integrated Tactical-Operational Supply Chain Planning with Stochastic Dynamic ConsiderationsFakharzadeh-Naeini, Hossein January 2011 (has links)
Integrated robust planning systems that cover all levels of SC hierarchy have become increasingly important. Strategic, tactical, and operational SC plans should not be generated in isolation to avoid infeasible and conflicting decisions. On the other hand, enterprise planning systems contain over millions of records that are processed in each planning iteration. In such enterprises, the ability to generate robust plans is vital to their success because such plans can save the enterprise resources that may otherwise have to be reserved for likely SC plan changes. A robust SC plan is valid in all circumstances and does not need many corrections in the case of interruption, error, or disturbance. Such a reliable plan is proactive as well as reactive. Proactivity can be achieved by forecasting the future events and taking them into account in planning. Reactivity is a matter of agility, the capability of keeping track of system behaviour and capturing alarming signals from its environment, and the ability to respond quickly to the occurrence of an unforeseen event. Modeling such a system behaviour and providing solutions after such an event is extremely important for a SC.
This study focuses on integrated supply chain planning with stochastic dynamic considerations. An integrated tactical-operational model is developed and then segregated into two sub-models which are solved iteratively. A SC is a stochastic dynamic system whose state changes over time often in an unpredictable manner. As a result, the customer demand is treated as an uncertain parameter and is handled by exploiting scenario-based stochastic programming. The increase in the number of scenarios makes it difficult to obtain quick and good solutions. As such, a Branch and Fix algorithm is developed to segregate the stochastic model into isolated islands so as to make the computationally intractable problem solvable. However not all the practitioners, planners, and managers are risk neutral. Some of them may be concerned about the risky extreme scenarios. In view of this, the robust optimization approach is also adopted in this thesis. Both the solution robustness and model robustness are taken into account in the tactical model. Futhermore, the dynamic behaviour of a SC system is handled with the concept of Model Predictive Control (MPC).
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Indifference pricing of natural gas storage contracts.Löhndorf, Nils, Wozabal, David January 2017 (has links) (PDF)
Natural gas markets are incomplete due to physical limitations and low liquidity, but most valuation approaches for natural gas storage contracts assume a complete market. We propose an alternative approach based on indifference pricing which does not require this assumption but entails the solution of a high- dimensional stochastic-dynamic optimization problem under a risk measure. To solve this problem, we develop a method combining stochastic dual dynamic programming with a novel quantization method that approximates the continuous process of natural gas prices by a discrete scenario lattice. In a computational experiment, we demonstrate that our solution method can handle the high dimensionality of the optimization problem and that solutions are near-optimal. We then compare our approach with rolling intrinsic valuation, which is widely used in the industry, and show that the rolling intrinsic value is sub-optimal under market incompleteness, unless the decision-maker is perfectly risk-averse. We strengthen this result by conducting a backtest using historical data that compares both trading strategies. The results show that up to 40% more profit can be made by using our indifference pricing approach.
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The optimal dynamic pricing strategy for fashion apparel industryChen, Yen-Chun 24 June 2004 (has links)
Pricing decision is the minority of all important decisions which can apparently influence a firm's profit-making within extremely short time. In an era of meagre profit, firms cannot stand any more injury caused of mistake at pricing. However, lots of managers still make pricing decision according to their experience or the action of other competitors without any mechanism of price-determining based on their firms' resource condition.
The subject of this research is to probe the abiding price-reducing strategy for fashion appearing firms. Fashion apparel is a kind of commodities with seasonality and popularity, and is an example of all perishable goods. For all sorts of characteristic such as the need for long lead time before production, short time span for sale , and the low salvage value after season...etc., it makes firms reduce price to close out inventories by the end of seasons to evade value loss. When it comes to price-reducing, the fashion apparel is quite different from other commodities. It is a kind of commodity which has speciality of phased and monotonicity on price reduction. Therefore, it lacks two kinds of elasticity which are price-adjusting at any time and adjusting the price range at will. For the characteristic of close interdependence between product and time, and the normal demand on price-reducing, fashion apparel firms need some decision tools which are more fast, correct, and practical than any other ones.
With two main parameters which are 'the levels of unsold inventory' and ' the length of season remaining ' along with two parameters which are 'discount factor' and ' the salvage value after season ', this research constructs out an stochastic dynamic programming model to maximize the expect profit and offer an program for calculating the optimal price-reduced range and time. After the analysis of generality and sensitivity with this model, it is found that the characteristics of this model are in conformity with theoretical research and real phenomenon of market. Besides, it is suitable for various kinds of price elastic demand. Hence, this model can be proved to be able to extend to other similar industries with the same nature.
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Pricing of Swing Options: A Monte Carlo Simulation ApproachLeow, Kai-Siong 16 April 2013 (has links)
No description available.
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PRECISION TECHNOLOGIES FOR LONG-TERM IMAGING OF STOCHASTIC ORGANISMAL DYNAMICSKarl Ferdinand Ziegler (18421836) 23 April 2024 (has links)
<p dir="ltr">The goal of this dissertation is to develop precision technologies to facilitate establishing, in the context of stochastic organismal dynamics, organizational principles that govern basic regulatory processes in living systems. We focus on biological timekeeping, the interplay of biological lengths and timescales, and strategies governing the control of rapid vs. precise adaptation to changing phenomena supporting complex phenotypes. In particular, individual cells of unicellular organisms respond with remarkable precision and plasticity in their growth and division to changes in their noisy environments. Cells rely on scalable timekeepers and quantitative tradeoffs to accomplish this precision. In this dissertation we will address longstanding open questions in cell biology, such as: How does an individual cell maintain size homeostasis across multigenerational dynamics, as it repeatedly grows and divides? How does an organism adapt its growth rate to reflect changing environmental conditions? The development of understanding of systems-level organizational principles in a controlled experimental system in turn advances our general ability to predict and control stochastic organismal dynamics, and thus develop functional synthetic adaptive systems.</p>
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Reforestation Management to Prevent Ecosystem Collapse in Stochastic DeforestationChong, Fayu 24 May 2024 (has links)
The increasing rate of deforestation, which began decades ago, has significantly impacted on ecosystem services. In this context, secondary forests have emerged as crucial elements in mitigating environmental degradation and restoration. This study is motivated by the need to understand the reforestation management in secondary forests to prevent irreversible ecosystem damage. We begin by setting the drift and volatility in stochastic primary forests. However, it is more manageable to take control of replantation. We employ a dynamic programing approach, integrating ecological and economic perspectives to assess ecosystem services. To simulate a real-world case, we investigate the model in the Brazil Amazon Basin. Special attention is given to the outcome at the turning point, tipping point, and transition point, considering a critical threshold beyond which recovery becomes implausible. Our findings suggest that reducing tenure costs has advantages, while substitution between primary and secondary forests is not necessarily effective in postponing ecosystem collapse. This research contributes to a broader goal of sustainable forest management and offers strategic guidance for future reforestation initiatives in the Amazon Basin and similar ecosystems worldwide. / Master of Science / Deforestation has been drawing attention from institutions since the 1940s, and this global issue has been discussed for its negative impacts and the ways to restore what has been lost. Reforestation initiatives introduced by global environmental organizations consider forest plantations essential in re-establishing trees and the natural ecosystem. This study aims to investigate how different techniques target the growth of secondary forests to mitigate the irreversible damage of ecosystem services. Our research begins by defining the uncertain primary forests. Primary forests and deforestation face long-term climate changes and immediate shocks like fires, droughts, and human activities, meanwhile, policymakers have difficulties predicting and fully controlling them. We integrate considerations of ecology and economy to the ecosystem functioning, introducing stochasticity in deforestation into our dynamic optimization problem. We apply our models to the Brazil Amazon Basin, a region known for its diverse tropical forests and vast cases of deforestation. We pay close attention to the timing of tipping point that leads to ecosystem collapse, the turning point where reforestation rate catches up with deforestation rate, and the moment of forest type transition. Through simulation and sensitivity analysis, we gain a better grasp on guiding the management of secondary forests under uncertain conditions. Our results indicate that reforestation approaches that lower tenure costs can be beneficial, but merely substituting primary forests cannot necessarily delay an ecosystem collapse. This paper provides practical insights for policymakers, local communities, and international organizations.
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