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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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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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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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Adaptation Timing in Self-Adaptive SystemsMoreno, Gabriel A. 01 April 2017 (has links)
Software-intensive systems are increasingly expected to operate under changing and uncertain conditions, including not only varying user needs and workloads, but also fluctuating resource capacity. Self-adaptation is an approach that aims to address this problem, giving systems the ability to change their behavior and structure to adapt to changes in themselves and their operating environment without human intervention. Self-adaptive systems tend to be reactive and myopic, adapting in response to changes without anticipating what the subsequent adaptation needs will be. Adapting reactively can result in inefficiencies due to the system performing a suboptimal sequence of adaptations. Furthermore, some adaptation tactics—atomic adaptation actions that leave the system in a consistent state—have latency and take some time to produce their effect. In that case, reactive adaptation causes the system to lag behind environment changes. What is worse, a long running adaptation action may prevent the system from performing other adaptations until it completes, further limiting its ability to effectively deal with the environment changes. To address these limitations and improve the effectiveness of self-adaptation, we present proactive latency-aware adaptation, an approach that considers the timing of adaptation (i) leveraging predictions of the near future state of the environment to adapt proactively; (ii) considering the latency of adaptation tactics when deciding how to adapt; and (iii) executing tactics concurrently. We have developed three different solution approaches embodying these principles. One is based on probabilistic model checking, making it inherently able to deal with the stochastic behavior of the environment, and guaranteeing optimal adaptation choices over a finite decision horizon. The second approach uses stochastic dynamic programming to make adaptation decisions, and thanks to performing part of the computations required to make those decisions off-line, it achieves a speedup of an order of magnitude over the first solution approach without compromising optimality. A third solution approach makes adaptation decisions based on repertoires of adaptation strategies— predefined compositions of adaptation tactics. This approach is more scalable than the other two because the solution space is smaller, allowing an adaptive system to reap some of the benefits of proactive latency-aware adaptation even if the number of ways in which it could adapt is too large for the other approaches to consider all these possibilities. We evaluate the approach using two different classes of systems with different adaptation goals, and different repertoires of adaptation strategies. One of them is a web system, with the adaptation goal of utility maximization. The other is a cyberphysical system operating in a hostile environment. In that system, self-adaptation must not only maximize the reward gained, but also keep the probability of surviving a mission above a threshold. In both cases, our results show that proactive latency-aware adaptation improves the effectiveness of self-adaptation with respect to reactive time-agnostic adaptation.
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A Study on Electrical Vehicle Charging Station DC Microgrid OperationsLiao, Yung-tang 11 September 2012 (has links)
Power converters are used in many distributed energy resources (DER) applications. With proper controls, DER systems can reduce losses and achieve higher energy efficiency if various power sources and loads are integrated through DC bus. High voltage electric vehicle (EV) DC charging station is becoming popular in order to reduce charging time and improve energy efficiency. A DC EV charging station model involving photovoltaic, energy storage system (ESS), fuel cell and DC loads is studied in this work. A dynamic programming technique that considers various uncertainties involved in the system is adopted to obtain optimal dispatch of ESS and fuel cell system. The effects of different tariffs, demand response programs and contract capacities of demand in the power scheduling are investigated and the results are presented.
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Intertemporal Considerations in Supply Offer Development in the wholesale electricity marketStewart, Paul Andrew January 2007 (has links)
Over the last 20 years, electricity markets around the world have gradually been deregulated, creating wholesale markets in which generating companies compete for the right to supply electricity, through an offering system. This thesis considers the optimisation of the offering process from the perspective of an individual generator, subject to intertemporal constraints including fuel limitations, correlated rest-of-market behaviour patterns and unit operational decisions. Contributions from the thesis include a Pre-Processing scheme that results in considerable computational benefits for a two-level Dynamic Programming method, in addition to the development of a new process that combines the techniques of Decision Analysis and Dynamic Programming.
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Optimal energy management strategy for a fuel cell hybrid electric vehicleFletcher, Thomas P. January 2017 (has links)
The Energy Management Strategy (EMS) has a huge effect on the performance of any hybrid vehicle because it determines the operating point of almost every component associated with the powertrain. This means that its optimisation is an incredibly complex task which must consider a number of objectives including the fuel consumption, drive-ability, component degradation and straight-line performance. The EMS is of particular importance for Fuel Cell Hybrid Electric Vehicles (FCHEVs), not only to minimise the fuel consumption, but also to reduce the electrical stress on the fuel cell and maximise its useful lifetime. This is because the durability and cost of the fuel cell stack is one of the major obstacles preventing FCHEVs from being competitive with conventional vehicles. In this work, a novel EMS is developed, specifcally for Fuel Cell Hybrid Electric Vehicles (FCHEVs), which considers not only the fuel consumption, but also the degradation of the fuel cell in order to optimise the overall running cost of the vehicle. This work is believed to be the first of its kind to quantify effect of decisions made by the EMS on the fuel cell degradation, inclusive of multiple causes of voltage degradation. The performance of this new strategy is compared in simulation to a recent strategy from the literature designed solely to optimise the fuel consumption. It is found that the inclusion of the degradation metrics results in a 20% increase in fuel cell lifetime for only a 3.7% increase in the fuel consumption, meaning that the overall running cost is reduced by 9%. In addition to direct implementation on board a vehicle, this technique for optimising the degradation alongside the fuel consumption also allows alternative vehicle designs to be compared in an unbiased way. In order to demonstrate this, the novel optimisation technique is subsequently used to compare alternative system designs in order to identify the optimal economic sizing of the fuel cell and battery pack. It is found that the overall running cost can be minimised by using the smallest possible fuel cell stack that will satisfy the average power requirement of the duty cycle, and by using an oversized battery pack to maximise the fuel cell effciency and minimise the transient loading on the stack. This research was undertaken at Loughborough University as part of the Doctoral Training Centre (DTC) in Hydrogen, Fuel Cells and Their Applications in collaboration with the University of Birmingham and Nottingham University and with sponsorship from HORIBA-MIRA (Nuneaton, UK). A Microcab H4 test vehicle has been made available for use in testing for this research which was previously used for approximately 2 years at the University of Birmingham. The Microcab H4 is a small campus based vehicle designed for passenger transport and mail delivery at low speeds as seen on a university campus. It has a top speed of approximately 30mph, and is fitted with a 1.2kW fuel cell and a 2kWh battery pack.
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Analysis of Pension Strategies / Analys av pensionsstrategierSkanke, Björn January 2014 (has links)
In a time where people tend to retire earlier and live longer in combination with an augmented personal responsibility of allocating or at least choosing adequately composed pension funds, the importance of a deeper understanding of long term investment strategies is inevitably accentuated. On the background of discrepancies in suggested pension fund strategies by influential fund providers, professional advisers and previous literature, this thesis aims at addressing foremost one particular research question: How should an investor optimally allocate between risky and risk-less assets in a pension fund depending on age? In order to answer the question the sum of Human wealth, defined as the present value of all expected future incomes, and ordinary Financial wealth is maximized by applying a mean-variance and a expected utility approach. The latter, and mathematically more sound method yields a strategy suggesting 100% of available capital to be invested in risky assets until the age of 47 whereafter the portion should be gradually reduced and reach the level of 32% at the last period before retirement. The strategy is clearly favorable to solely holding a risk-free asset and it just outperforms the commonly applied "100 minus age"-strategy.
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