F. Maggioni, L. Bertazzi
We consider a Stochastic Multistage Fixed Charge Transportation Problem in which a producer has to ship an uncertain load to a customer over a fixed time horizon minimizing the expected total cost. The shipment can be performed at discrete times by using transportation procurement services. Different companies offer an uncertain transportation price with realization available at the end of the period. A penalty is paid for the quantity that remains to be sent. We prove that this problem is NP-hard, we propose a multistage stochastic integer optimization model and we determine optimal policies for simplified cases under the assumption of deterministic demand and/or the absence of capacity constraints. We provide theoretical worst-case results of rolling horizon approaches of multistage stochastic programming models with finite time horizon. A sensitivity analysis of total costs and optimal policies versus values of penalty is also performed. Numerical results are finally provided.
Keywords: Worst-case Analysis, Rolling Horizon Approach, Stochastic Multistage Fixed Charge Transportation Problem
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ThB1 Risk management
June 2, 2016 10:45 AM
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