Many applications from economic and financial practice lead to optimization problems depending on a probability measure. A complete knowledge of the "underlying" measure is a necessary assumption to determine an exact optimal solution and an exact optimal value. Since this condition is not...

Electricity producers participating in electricity markets face risks pertaining to both selling prices and the availability of the production units. Among electricity derivatives, options represent an adequate instrument to manage these risks. In this paper, we propose a multi-stage stochastic...

We present a stochastic tactical planning model for the production and distribution of fresh agricultural products. The model incorporates the uncertainties encountered in the fresh produce industry when developing growing and distribution plans due to the variability of weather and demand. The...

We consider the application of Dantzig-Wolfe decomposition to stochastic integer programming problems arising in the capacity planning of electricity transmission networks that have some switchable transmission elements. The decomposition enables a column-generation algorithm to be applied,...

This paper discusses a family of two-stage decentralized inventory problems using a unifying framework (taxonomy) depicted as a multilevel graph. This framework allows us to model and link different problems of competing retailers who independently procure inventory in response to uncertain...

In this paper we study the capacity investment decisions and operational strategies of a firm providing two-class services facing uncertain demands. The capacity decisions of the resources are made before demands are observed. Each service can be implemented by its corresponding resource. Should...

In this paper, a multi-period supply chain network design problem is addressed. Several aspects of practical relevance are considered such as those related with the financial decisions that must be accounted for by a company managing a supply chain. The decisions to be made comprise the location...