Skip to Main content Skip to Navigation
Journal articles

A practical implementation of stochastic programming: an application to the evaluation of option contracts in supply chains

Abstract : Stochastic programming is a powerful analytical method in order to solve sequential decision-making problems under uncertainty. We describe an approach to build such stochastic linear programming models. We show that algebraic modeling languages make it possible for non-specialist users to formulate complex problems and have solved them by powerful commercial solvers. We illustrate our point in the case of option contracts in supply chain management and propose a numerical analysis of performance. We propose easy-to-implement discretization procedures of the stochastic process in order to limit the size of the event tree in a multi-period environment.
Complete list of metadatas

https://hal-hec.archives-ouvertes.fr/hal-00471409
Contributor : Antoine Haldemann <>
Submitted on : Thursday, April 8, 2010 - 11:08:53 AM
Last modification on : Thursday, January 11, 2018 - 6:19:31 AM

Identifiers

Collections

Citation

Christian van Delft, Jean-Philippe Vial. A practical implementation of stochastic programming: an application to the evaluation of option contracts in supply chains. Automatica, Elsevier, 2004, Vol.40,n°5, pp.743-756. ⟨10.1016/j.automatica.2003.12.008⟩. ⟨hal-00471409⟩

Share

Metrics

Record views

236