This study investigates multiperiod service level (MSL) policies in supply chains facing a stochastic customer demand. The objective of the supply chains is to construct integrated replenishment plans that satisfy strict stockout-oriented performance measures which apply across a multiperiod...

We consider the problem of maximizing expected lifetime utility from consumption of a generalized geometric Brownian motion in the presence of controlling costs with a fixed component. Under general assumptions on the utility function and the intervention costs our main result is to show that,...

This paper introduces a new cutting plane method for two-stage stochastic mixed-integer programming (SMIP) called Fenchel decomposition (FD). FD uses a class of valid inequalities termed, FD cuts, which are derived based on Fenchel cutting planes from integer programming. First, we derive FD...

The nested L-shaped method is used to solve two- and multi-stage linear stochastic programs with recourse, which can have integer variables on the first stage. In this paper we present and evaluate a cut consolidation technique and a dynamic sequencing protocol to accelerate the solution...

This paper presents the application of Mixed-Integer Programming (MIP) approach for solving the security-constrained daily hydrothermal generation Scheduling which takes into account the intermittency and volatility of wind power generation, which is called Security-Constrained Wind Hydrothermal...

In this paper, we propose a stochastic production planning model for a biofuel supply chain under demand and price uncertainties. The supply chain consists of biomass suppliers, biofuel refinery plants and distribution centers. A stochastic linear programming model is proposed within a...