Multistage stochastic linear programs model problems in financial planning, dynamic traffic assignment, economic policy analysis, and many other applications. Equivalent representations of such as deterministic are, however, excessively large. This paper develops decomposition partitioning methods for solving these reports on computational results a set practical test problems.

The authors develop a model and solution technique for the problem of generating electric power when demands are not certain. They also provide techniques improving current methods used in solving traditional unit commitment problem. strategy can be run parallel due to separable nature relaxation used. Numerical results indicate significant savings cost operating systems stochastic is instead deterministic model.

As an integrated part of a supply contract, trade credit has intrinsic connections with chain coordination and inventory management. Using model that explicitly captures the interaction firms’ operations decisions, financial constraints, multiple financing channels (bank loans credit), this paper attempts to better understand risk-sharing role credit—that is, how enhances efficiency by allowing retailer partially share demand risk supplier. Within role, in equilibrium, is indispensable...

The fast growing expansion of renewable energy increases the complexities in balancing generation and demand power system. energy-shifting fast-ramping capability storage has led to increasing interests batteries facilitate integration resources. In this paper, we present a two-step framework evaluate potential value systems with generation. First, formulate stochastic unit commitment approach wind forecast uncertainty storage. Second, solution from is used derive flexible schedule for...

Although decisions frequently have uncertain consequences, optimal-decision models often replace those uncertainties with averages or best estimates. Limited computational capability may motivated this practice in the past. Recent advances have, however, greatly expanded range of explicit consideration uncertainties. This article describes basic methodology for these stochastic programming models, recent developments computation, and several practical applications.

This paper considers the rescheduling of operations with release dates and multiple resources when disruptions prevent use a preplanned schedule. The overall strategy is to follow preschedule until disruption occurs. After disruption, part schedule reconstructed match up at some future time. Conditions are given for optimality this approach. A practical implementation compared alternatives static scheduling myopic dynamic scheduling. set test problems demonstrates advantages matchup We also...

This paper develops models to make production and financing decisions simultaneously in the presence of demand uncertainty market imperfections. While Modigliani Miller propositions demonstrate that a firm's investment can be made independently perfect capital market, our illustrate how are affected by existence financial constraints. We analyze interactions between as tradeoff tax benefits debt distress costs. Our numerical examples traditional all-equity manufacturing company improve its...

Traditional methods model the billion-dollar airline crew scheduling problem as deterministic and do not explicitly include information on potential disruptions. Instead of modeling deterministic, we consider a stochastic devise solution methodology for integrating disruptions in evaluation schedules. The goal is to use that find robust solutions better withstand Such an approach important because can proactively effects certain decisions. By identifying more schedules, cascading delay are...

This paper examines how a firm’s financial distress and the legal environment regarding ease of bankruptcy reorganization can alter product market competition supplier–buyer relationships. We identify three effects—predation, bail-out, abetment—that change firms’ behavior from their actions in absence distress. The predation effect increases before potential as nondistressed competitor behaves if it has some first-mover advantage that could benefit supplier with price control. bail-out...

Using a panel of credit default swap (CDS) spreads and supply chain links, we observe that both favorable unfavorable shocks propagate through chains in the CDS market. Particularly, three-day cumulative abnormal spread change (CASC) is 63 basis points for firms whose customers experienced up-jump event (an adverse shock). The value 74 if their suppliers event. corresponding CASC values are –36 –38 points, respectively, suppliers, an extreme down-jump (a These effects approximately twice as...

We consider a day-ahead electricity market that consists of multiple competing renewable firms (e.g., wind generators) and conventional coal-fired power plants) in discrete-time setting. The is run every period, all submit their price-contingent production schedules market. Following the clearance market, next each (renewable) firm chooses its quantity (after observing available supply). If produces less than cleared commitment, pays an undersupply penalty proportion to underproduction....

Data on population movements can be helpful in designing targeted policy responses to curb epidemic spread. However, it is not clear how exactly leverage such data and valuable they might for the control of epidemics. To explore these questions, we study a spatial model that explicitly accounts propose an optimization framework obtaining policies restrict economic activity different neighborhoods city at levels. We focus COVID-19 calibrate our using mobile phone capture individuals’ within...

The recent coronavirus disease 2019 pandemic has shown that shortages and supply chain disruptions can have catastrophic effects on the real economy. These observations bring about reflections first-order questions. How we design networks are robust resilient to demand shocks? Can quantify indirect caused by buyers’ suppliers’ defaults in network? Is it always cost effective steer system toward higher diversification? In paper “Disruption Rerouting Supply Chain Networks,” Birge et al. argue...

Manufacturing and service operations decisions depend critically on capacity resource limits. These limits directly affect the risk inherent in those decisions. While consideration is well developed finance through efficient market theory capital asset pricing model, management models do not generally adopt these principles. One reason for this apparent inconsistency may be that analysis of an operational model does reveal level until solved. Using results from option theory, we show can...

A new substantially revised version of this paper under the title "Trade Credit, Risk Sharing, and Inventory Financing Portfolios" is available for download at: http://ssrn.com/abstract=2746645.

The United States targets to supply 20% of its electricity generation using wind energy by 2030. expansion renewable resources, especially weather-based resources such as wind, creates more uncertainty and variability in the operation power grid. New methods approaches market operations are needed efficiently manage continuing increase caused expanding intermittent wind. This paper proposes an improved stochastic programming approach for incorporating into markets. proposed formulation...

We argue that deterministic market clearing formulations introduce arbitrary distortions between day-ahead and expected real-time prices bias economic incentives. extend analyze a previously proposed stochastic formulation in which the social surplus function induces penalties quantities. prove yields price bounded distortions, we show adding similar penalty term to transmission flows phase angles ensures boundedness throughout network. when are zero, quantities equal quantile of their...

We propose an inverse optimization-based methodology to determine market structure from commodity and transportation prices. The methods are appropriate for locational marginal price-based electricity markets where prices shadow in the centralized optimization used clear market. apply outcome data Midcontinent ISO (MISO) and, under noise-free assumptions, recover parameters of transmission related constraints that not revealed participants but explain price variation. demonstrate evaluate...