In this paper we apply stochastic dual dynamic programming decomposition to a nonconvex multistage stochastic hydrothermal model where the nonlinear water head effects on production and the nonlinear dependence between the reservoir head and the reservoir volume are modeled. The nonconvex...

We formulate a stochastic-demand version of the single-stage lot-sizing problem with time-varying demand, incorporating a service-level constraint on the probability of a stockout. Three strategies are studied. The "static uncertainty" strategy, in which lot-sizing decisions for every period...

This paper examines issues in building decision support models for budgeting nursing workforce requirements in a hospital. We determine regular-time, overtime, and agency workforce levels for various skill classes in a budget cycle. We introduce a family of eight models ranging from a...

In probabilistic linear programming models the decision maker is typically assumed to know the probability distribution of the random parameters. Here it is assumed that the distribution functions of the parameters have a specified functional form F(t, \theta ), where \theta is an unknown (real)...

This paper is concerned with the development of an optimal budget holdback policy for a multi-item procurement process. An annual budget is made available for the purchase and resupply of n items. The issue is to determine how much of the budget to commit initially and how much to hold back for...