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

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...

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Vydáno v:Omega (Oxford) Ročník 40; číslo 5; s. 511 - 524
Hlavní autoři: Nickel, Stefan, Saldanha-da-Gama, Francisco, Ziegler, Hans-Peter
Médium: Journal Article
Jazyk:angličtina
Vydáno: Kidlington Elsevier Ltd 01.10.2012
Elsevier
Pergamon Press Inc
Edice:Omega
Témata:
Applied sciences
Decision making
Decision theory. Utility theory
Exact sciences and technology
Flows in networks. Combinatorial problems
Ganzzahlige Optimierung
Integer programming
Lieferkette
Linear programming
Location
Logistics
Operational research and scientific management
Operational research. Management science
Operations Research
Risk management
Risk theory. Actuarial science
Stochastic models
Stochastic programming
Stochastic programming Location Integer programming
Stochastischer Prozess
Studies
Supply chain management
Supply chains
Integer programming
Stochastic programming
Location
Script
Decision making
Interest rate
Financial management
Mixed integer programming
Raw materials
Risk analysis
Location problem
Facility location
Uncertain system
Return on investment
Objective function
Planning
Risk management
Service quality
Firm
Investment
Logistics
ISSN:0305-0483, 1873-5274
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Shrnutí: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. ► A multi-period stochastic supply chain network design problem is considered. ► Stochasticity is taken into account for the demand and for the interest rates. ► Financial decisions as well as risk management are taken into account. ► The service level for each customer is evaluated in the model. ► A measure for the value of the multi-stage stochastic solution is introduced.
Bibliografie:SourceType-Scholarly Journals-1
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content type line 14
ISSN:0305-0483
1873-5274
DOI:10.1016/j.omega.2011.09.006