Modeling Supply Chain Planning Under Demand Uncertainty Using Stochastic Programming: A Survey Motivated by Asset-Liability Management
International Journal of Production Economics, Forthcoming
34 Pages Posted: 22 Jun 2006 Last revised: 26 May 2009
Date Written: January 20, 2009
Abstract
We extend the linear programming (LP) model of deterministic supply-chain planning to take demand uncertainty and cash flows into account for the medium term. The resulting stochastic LP model is similar to that of Asset-Liability Management (ALM), for which the literature using stochastic programming is extensive. As such, we survey various modeling and solution choices developed in the ALM literature and discuss their applicability to supply chain planning. This survey can be a basis for making modeling/solution choices in research and in practice to manage the risks pertaining to unmet demand, excess inventory and cash liquidity when demand is uncertain.
Keywords: supply chain risk, risk measures, asset-liability management, stochastic programming
JEL Classification: C61, D81, M11
Suggested Citation: Suggested Citation
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