Technical note: Sochastic optimization with decisions truncated by positively dependent random variables

DOI10.1287/OPRE.2018.1815zbMATH Open1455.90112OpenAlexW2953256124WikidataQ127640100 ScholiaQ127640100MaRDI QIDQ5129196FDOQ5129196

Authors: Xin Chen, Xiang-Yu Gao 

Publication date: 26 October 2020

Published in: Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1287/opre.2018.1815

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zbMATH Keywords

stochastic optimizationrisk aversioninventory managementdependent supply capacity uncertaintytwo-part fee structure

Mathematics Subject Classification ID

Stochastic programming (90C15) Inventory, storage, reservoirs (90B05) Risk models (general) (91B05)

Cites Work

• Quantitative risk management. Concepts, techniques and tools
• Single-period multiproduct inventory models with substitution
• A risk-averse newsvendor model under the CVaR criterion
• Dynamic capacity management with substitution
• Flexible Service Capacity: Optimal Investment and the Impact of Demand Correlation
• The Structure of Periodic Review Policies in the Presence of Random Yield
• Optimal Joint Inventory and Transshipment Control Under Uncertain Capacity
• Procurement strategies with unreliable suppliers
• Dynamic capacity management with general upgrading
• Preservation of structural properties in optimization with decisions truncated by random variables and its applications

Cited In (3)

• Technical note -- Preservation of additive convexity and its applications in stochastic optimization problems
• Preservation of structural properties in optimization with decisions truncated by random variables and its applications
• Replenishment decisions for complementary components with supply capacity uncertainty under the CVaR criterion

Uses Software

• QRM

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