On a Multi-stage Stochastic Programming Model for Inventory Planning

被引：6
|
作者：
Huang, Kai [1 ]
Ahmed, Shabbir [2 ]
机构：
[1] Eindhoven Univ Technol, Dept Technol Management, NL-5600 MB Eindhoven, Netherlands
[2] Georgia Inst Technol, Sch Ind & Syst Engn, Atlanta, GA 30332 USA
来源：
INFOR | 2008年 / 46卷 / 03期
关键词：
Multi-stage stochastic programming; inventory control; polynomial algorithm;
D O I：
10.3138/infor.46.3.155
中图分类号：
TP [自动化技术、计算机技术];
学科分类号：
0812 ;
摘要：
This paper considers a stochastic dynamic inventory problem involving a single item, linear cost structures, and finite distributions (but not necessarily independent) for the stochastic cost and demand parameters. We develop primal and dual algorithms for a multi-stage stochastic linear programming formulation for the problem. The complexity of the proposed algorithms is shown to be within O(N(2)), where N is the number of nodes in the scenario tree used to model the stochastic parameters.
引用
收藏
页码：155 / 163
页数：9
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