检索结果-内蒙古大学图书馆

Multi-period dual-sourcing replenishment problem with option contracts and a spot market

INDUSTRIAL MANAGEMENT & DATA SYSTEMS 2018年第4期118卷 782-805页

作者： Wan, Nana Chen, Xu Southwest Univ Sci & Technol Sch Econ & Management Mianyang Peoples R China Univ Elect Sci & Technol China Sch Management & Econ Chengdu Sichuan Peoples R China

Purpose - The spot market has been gradually recognized as an important alternative purchasing source. To maintain a flexible replenishment strategy, call, put and bidirectional option contracts, as a risk hedging, are in combined usage with the spot market, respectively. The purpose of this paper is to analyze a finite-horizon replenishment problem with option contracts in the context of a spot market. Design/methodology/approach - Based on stochastic dynamic programming, the firm's optimal replenishment policy with either call, put or bidirectional option contracts is always shown to be order-up-to type, characterized by an upper threshold and a lower one. The corresponding policy parameters in different cases are calculated through an approximate algorithm. This research highlights the effectiveness of option contracts on the firm's operational strategies and overall profitability. Findings - This study reveals that the firm is better off with option contracts than without them. When the price parameters are the same for different option contracts, bidirectional option contracts are the best choice among these flexible contracts;otherwise, unilateral option contracts might be either better or worse than bidirectional ones. In addition, if low inventory costs and high spot price volatility are confronted, the firm prefers to call option contracts rather than put ones;otherwise, there exists an opposite conclusion. Originality/value - In addition to highlight the advantage of option contracts over wholesale price contracts, this paper provides interesting observations with respect to the effect of different option contracts on the firm. Many significant insights derived from this research do not only contribute to the provider's feasible design of the supply contracts, but also contribute to the user's rational operational strategies for higher profitability.

关键词： Spot market stochastic dynamic programming Dual-sourcing replenishment Multi-period inventory Option contracts

来源：评论

学校读者我要写书评

暂无评论

Genetic algorithm for optimal operating policy of a multipurpose reservoir

引用

WATER RESOURCES MANAGEMENT 2005年第2期19卷 145-161页

作者： Ahmed, JA Sarma, AK Indian Inst Technol Dept Civil Engn Gauhati 781039 India

This paper presents a Genetic Algorithm (GA) model for finding the optimal operating policy of a multi-purpose reservoir, located on the river Pagladia, a major tributary of the river Brahmaputra. A synthetic monthly streamflow series of 100 years is used for deriving the operating policy. The policies derived by the GA model are compared with that of the stochastic dynamic programming (SDP) model on the basis of their performance in reservoir simulation for 20 years of historic monthly streamflow. The simulated result shows that GA-derived policies are promising and competitive and can be effectively used for reservoir operation.

关键词： genetic algorithm multipurpose reservoir optimal operating policy stochastic dynamic programming streamflow

来源：评论

学校读者我要写书评

暂无评论

Production Campaign Planning Under Learning and Decay

引用

M&SOM-MANUFACTURING & SERVICE OPERATIONS MANAGEMENT 2020年第3期22卷 615-632页

作者： Jahandideh, Hossein Rajaram, Kumar McCardle, Kevin Univ Calif Los Angeles Anderson Sch Management Los Angeles CA 90095 USA

Problem definition: We analyze a catalyst-activated batch-production process with uncertainty in production times, learning about catalyst-productivity characteristics and decay of catalyst performance across batches. The goal is to determine the quality level of batches and to decide when to replenish a catalyst so as to minimize average costs, consisting of inventory-holding, backlogging, and catalyst-switching costs. Academic/ practical relevance: This is an important problem in a variety of process-industry sectors, such as food processing, pharmaceuticals, and specialty chemicals, but has not been adequately studied in the academic literature. This paper also contributes to the stochastic economic lot-sizing literature. Methodology: We formulate this problem as a semi-Markov decision process (SMDP) and develop a two-level heuristic to solve this problem. The heuristic consists of a lower-level problem that plans the duration of batches within the current campaign to maximize the efficiency of the catalyst while ensuring that the target attribute level for each batch is set to meet a quality specification represented by an average attribute level across all the batches in a campaign. The higher-level problem determines when to replace the costly catalyst as its productivity decays. To evaluate our heuristic, we present a lower bound on the optimal value of the SMDP. This bound accounts for all costs, as well as the randomness and discreteness in the process. We then extend our methods to multiple-product settings, which results in an advanced stochastic economic lot-sizing problem. Results: We test our proposed solution methodology with data from a leading food-processing company and show that our methods outperform current practice with an average improvement of around 22% in costs. In addition, compared with the stochastic lower bounds, our results show that the two-level heuristic attains near-optimal performance for the intractable multidimensional SMDP. Man

关键词： campaign planning batch production stochastic economic lot sizing problem Bayesian updating production learning semi-Markov processes stochastic dynamic programming

来源：评论

学校读者我要写书评

暂无评论

Influence of Guiding Curves in the Optimal Management of a Hydropower System

引用

WATER RESOURCES MANAGEMENT 2013年第15期27卷 4989-5001页

作者： Arganis-Juarez, Maritza L. Mendoza-Ramirez, Rosalva Dominguez-Mora, Ramon Hernandez-Ruiz, Alma A. Berezowsky-Verduzco, Moises Univ Nacl Autonoma Mexico Inst Ingn Mexico City 04510 DF Mexico

Optimal operating policies for hydropower generation in a system of dams were obtained by means of a modified algorithm of stochastic dynamic programming that incorporates the guiding curve concept and other operating requirements defined by the Mexican agency in charge of electricity generation. These operating policies were used to simulate the long term system behavior and to analyze the influence of the guiding curves in the energy generation, the volume spilled and the possible deficit. The results show that by trying different curves it is possible to obtain a range of results that will enable decision makers to choose those that best fit their needs.

关键词： Guiding curves Optimal operating policies stochastic dynamic programming Hydropower system

来源：评论

学校读者我要写书评

暂无评论

Habit Formation from Correlation Aversion

引用

OPERATIONS RESEARCH 2012年第3期60卷 625-637页

作者： Lichtendahl, Kenneth C., Jr. Chao, Raul O. Bodily, Samuel E. Univ Virginia Darden Sch Business Charlottesville VA 22903 USA

Making plans about how much to consume and how much to invest in risky assets over an uncertain lifetime is a fundamental economic challenge. The leading models of this planning problem use either additive or habit-forming preferences. For the most part, these models assume an individual is either correlation neutral or correlation seeking in consumption, respectively. In this paper, we introduce two habit-forming, correlation-averse preference models. With these preferences, we find closed-form solutions to the classic consumption and portfolio planning problem. Our solutions recommend that a correlation-averse decision maker follow a habit in their consumption plans. While such habits traditionally have been associated with correlation-seeking preferences, our model leads to consumption habits from correlation-averse preferences.

关键词： decision analysis multiattribute utility stochastic dynamic programming consumption and portfolio planning

来源：评论

学校读者我要写书评

暂无评论

The optimal timber rotation: An option value approach

引用

FOREST SCIENCE 1998年第2期44卷 192-202页

作者： Plantinga, AJ Univ Maine Dept Resource Econ & Policy Orono ME 04469 USA

Previous analyses of the timber rotation problem under price uncertainty find that timber owners can increase the expected values of their stands by using a reservation price policy that exploits stochastic variations in prices. This result is found when the process governing prices is stationary and with nonstationary prices when there are fixed costs. This paper highlights the role of option values in influencing the optimal timing of harvests. In this context, the option value is a premium over the expected net present value of a timber stand reflecting the opportunity cost of harvesting now and foregoing the option to delay harvest until information on future stand values is revealed. With stationary prices, option values arise from two sources of forthcoming information: the level of the stumpage price relative to the long-term mean and the stand value relative to fixed costs. With nonstationary prices, option values are associated only with the latter information. This paper demonstrates analytically that reservation price policies act as a mechanism for incorporating the option value into the calculus of the optimal rotation length, Numerical simulations provide further insights into the effects of option values on rotation lengths, expected stand values, and reservation prices.

关键词： stochastic prices stochastic dynamic programming

来源：评论

学校读者我要写书评

暂无评论

Generation Expansion Planning Considering Mass Penetration of Renewable Energy Generation and Supply Reliability

引用

ELECTRICAL ENGINEERING IN JAPAN 2014年第3期189卷 1-12页

作者： Manabe, Yusuke Hara, Ryoichi Kita, Hiroyuki Hokkaido Univ Sapporo Hokkaido 060 Japan Hokkaido Univ Grad Sch Informat Sci & Technol Sapporo Hokkaido 060 Japan Hokkaido Univ Grad Sch Engn Sapporo Hokkaido 060 Japan

In the future, renewable energy (RE) generation systems will be constructed and interconnected to the power system by nonutility entities such as generation companies and residential customers. Therefore, generation expansion planning (GEP) should consider the effects of RE generation. The purpose of this paper is to discuss the best GEP from the economic, supply reliability, and environmental aspects considering the penetration of RE generation. For this purpose, this paper proposes a model of a utility's GEP process considering RE generation. The proposed method is based on stochastic dynamic programming (SDP) in which long-term uncertainties are modeled by geometric Brownian motion (GBM) and the binomial lattice process. The variation of RE generation output due to the weather conditions (short-term uncertainty) is also considered in the proposed method by means of the net load curve.

关键词： generation expansion planning renewable energy reliability assessment uncertainty stochastic dynamic programming

来源：评论

学校读者我要写书评

暂无评论

An Energy Management Strategy to concurrently optimise fuel consumption & PEM fuel cell lifetime in a hybrid vehicle

引用

INTERNATIONAL JOURNAL OF HYDROGEN ENERGY 2016年第46期41卷 21503-21515页

作者： Fletcher, Toni Thring, Rob Watkinson, Martin Univ Loughborough AACME Loughborough LE11 3TU Leics England HORIBA MIRA Watling St Nuneaton CV10 0TU Warwick England

The cost and reliability of fuel cells are major obstructions preventing fuel cell hybrid electric vehicle (FCHEV) from entering the mainstream market. However, many of the degradation methods are strongly affected by the operating conditions of the fuel cell and therefore can be mitigated by optimisation of the Energy Management Strategy (EMS). The major causes of fuel cell degradation are identified from the literature and a model is produced in order to estimate the effect of the EMS on the fuel cell degradation. This is used to produce an optimal strategy for a low speed campus vehicle using stochastic dynamic programming (SDP). The SDP controller attempts to minimise the total running cost of the fuel cell, inclusive of both fuel consumption and degradation, each weighted by their respective costs. The new strategy is shown to increase the lifetime of the fuel cell by 14%, with only a 3.5% increase in fuel consumption, largely by avoiding transient loading on the fuel cell stack. (C) 2016 The Authors. Published by Elsevier Ltd on behalf of Hydrogen Energy Publications LLC.

关键词： Energy Management Strategy stochastic dynamic programming Hybrid vehicle Fuel cell Reliability Cost

来源：评论

学校读者我要写书评

暂无评论

Long-term complementary operation of a large-scale hydro-photovoltaic hybrid power plant using explicit stochastic optimization

引用

APPLIED ENERGY 2019年第Mar.15期238卷 863-875页

作者： Li, He Liu, Pan Guo, Shenglian Ming, Bo Cheng, Lei Yang, Zhikai Wuhan Univ State Key Lab Water Resources & Hydropower Engn S Wuhan 430072 Hubei Peoples R China Hubei Prov Collaborat Innovat Ctr Water Resources Wuhan 430072 Hubei Peoples R China

The complementary operation of hydro-photovoltaic (PV) hybrid power plants has become important in the modern power systems. However, the strong variations involved in the streamflow and PV generation lead to uncertainties in the complementary operations. To improve the long-term complementary operation performance of a large-scale hydro-PV hybrid power plant, this study developed long-term stochastic optimization methods that simultaneously consider the uncertainty of the streamflow and PV power output. A multi-objective optimization model was established to maximize the total energy production and guaranteed rate. The model was then solved using stochastic dynamic programming to obtain the operation decisions (carryover storage), which are functions of the initial storage, streamflow, and PV output. Finally, four schemes for deriving the operation rules were constructed: (1) stochastic optimization of the hydropower station directly plus PV output, (2) stochastic optimization of the hydro-PV hybrid power plant considering stochastic streamflow and deterministic PV output, (3) stochastic optimization of the hydro-PV hybrid power plant considering independent stochastic streamflow and PV output, and (4) stochastic optimization of the hydro-PV hybrid power plant considering correlative stochastic streamflow and PV output. The proposed methods were applied to the Longyangxia hydro-PV hybrid power plant in Qinghai province, China, which is the largest hydro-PV plant in the world. The performance of the four schemes was compared across calibration and validation periods. The results show that: (1) the complementarity of hydropower and PV power in long-term operations is highly necessary, (2) considering the uncertainty of stochastic streamfiow and PV output simultaneously improves the efficiency of complementary operations, and (3) stochastic optimization of the hydro-PV hybrid power plant considering the independent stochastic streamflow and PV output gives the best pe

关键词： Hydro-PV hybrid power plant Uncertainty Streamflow PV output stochastic dynamic programming

来源：评论

学校读者我要写书评

暂无评论

Computationally efficient approximate dynamic programming for multi-site production capacity planning with uncertain demands

引用

FLEXIBLE SERVICES AND MANUFACTURING JOURNAL 2023年第3期35卷 797-837页

作者： Cheng, Chen-Yang Pourhejazy, Pourya Chen, Tzu-Li Natl Taipei Univ Technol Dept Ind Engn & Management Taipei 10608 Taiwan UiT Arctic Univ Norway Dept Ind Engn Lodve Langsgate 2 N-8514 Narvik Norway

With globalization and rapid technological-economic development accelerating the market dynamics, consumers' demand is becoming more volatile and diverse. In this situation, capacity adjustment as an operational strategic decision plays a major role to ensure supply chain responsiveness while maintaining costs at a reasonable norm. This study contributes to the literature by developing computationally efficient approximate dynamic programming approaches for production capacity planning considering uncertainties and demand interdependence in a multi-factory multi-product supply chain setting. For this purpose, the k-Nearest-Neighbor-based Approximate dynamic programming and the Rolling-Horizon-based Approximate dynamic programming are developed to enable real-time decision support while ensuring the robustness of the outcomes in stochastic decision environments. Given the market volatilities in the Thin Film Transistor-Liquid Crystal Display industry, a real case from this sector is investigated to evaluate the applicability of the developed approach and provide insights for other industry situations. The developed method is less complex to implement, and numerical experiments showed that it is also computationally more efficient compared to stochastic dynamic programming.

关键词： Production management Capacity planning Approximate dynamic programming stochastic dynamic programming Optimization

来源：评论

学校读者我要写书评

暂无评论

建议与咨询留下您的常用邮箱和电话号码，以便我们向您反馈解决方案和替代方法

时间限定

文献类型

馆藏选择

核心期刊

语言

文献类型

帮助

文字说明：

检索规则说明：

检索范例：

分类表

所选分类

限定检索结果

文献类型

馆藏范围

日期分布

学科分类号

主题

机构

作者

语言

请选择保存的检索档案：

请选择收藏分类：

通借通还

建议与咨询 留下您的常用邮箱和电话号码，以便我们向您反馈解决方案和替代方法

时间限定

文献类型

馆藏选择

核心期刊

语言

文献类型

帮助

文字说明：

检索规则说明：

检索范例：

分类表

所选分类

限定检索结果

文献类型

馆藏范围

日期分布

学科分类号

主题

机构

作者

语言

请选择保存的检索档案： 新增检索档案 确定 取消

请选择收藏分类： 新增自定义分类 确定 取消

通借通还

建议与咨询留下您的常用邮箱和电话号码，以便我们向您反馈解决方案和替代方法

请选择保存的检索档案：

请选择收藏分类：