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Showing 1 to 6 of 6 for “"Stochastic lot sizing"”.
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Multi-stage Stochastic Programming Models in Production Planning
… we study a series of closely related multi-stage stochastic programming models in production planning, from both a modeling and an algorithmic point of view. We first consider a very simple multi-stage stochastic lot-sizing problem, involving a single item with no fixed charge and capacity …
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Fully polynomial time approximation schemes for sequential decision problems
… part, we tackle a more difficult problem; the stochastic lot sizing problem, and give the first fully polynomial time approximation scheme for it. Our approach is based on simple techniques that could arguably have wider applications outside of just designing fully polynomial time approximation …
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Sampling based progressive hedging algorithms for stochastic programming problems
… can be estimated to a certain degree, stochastic programming (SP) methodologies are used to identify robust plans. Despite advances in SP, it is still a challenge to solve real world stochastic programming problems, in part due to the exponentially increasing number of scenarios. For …
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Provably near-optimal algorithms for multi-stage stochastic optimization models in operations management
… management fall into the category of multi-stage stochastic optimization models, whereby one considers multiple, often correlated decisions to optimize a particular objective function under uncertainty on the system evolution over the future horizon. Unfortunately, computing the optimal policies …
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Applications of stochastic inventory control in market-making and robust supply chains
… the classical inventory control model to address stochastic inventory control problems raised in market-making and robust supply chains. In the financial market, market-makers assume the role of a counterpart so that investors can trade any fixed amounts of assets at quoted bid or ask prices at …
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Computing policy parameters for stochastic inventory control using stochastic dynamic programming approaches
… inventory control policy parameters for the stochastic inventory control problem under Scarf’s setting. A common aspect of the solutions presented herein is the usage of stochastic dynamic programming approaches, a mathematical programming technique introduced by Bellman. Stochastic dynamic …