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

页码：155 / 163

页数：9

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