We propose a new practical methodology for risksensitive stochastic optimal control, showing that material decreases in risk indices are possible with relatively little loss of average case performance. Cost optimisation of energy system assets has typically been carried out under the assumption of risk-neutrality, minimising average operational costs. The risk profile of control strategies is ...

The richness of the option price data that is readily available to traders and others suggests the possibility of inverting this cross-sectional data to obtain a specification for a stochastic process that might be driving the observed prices. A number of such techniques have been introduced. They are attractive because they offer the prospect of specifying a stochastic process that is consiste...

I n this article, we study the newsvendor problem with endogenous setting of price and quoted lead-time. This problem can be observed in situations where a firm orders semi-finished product prior to the selling season and customizes the product in response to customer orders during the selling season. The total demand during the selling season and the lead-time required for customization are un...

We consider a single-echelon, single-item inventory system where both demand and lead-time are stochastic. Continuous review policy is used to control the inventory system. The objective is to calculate the reorder point level under stochastic parameters. A case study is presented in Neonatal Intensive Care Unit. Keywords—Inventory control system, reorder point level, stochastic demand, stochas...

and Applied Analysis 3 Table 1: Comparison between the papers discussing integrated inventory model with a trade credit. Author s Demand rate Production rate Production/purchase cost Freight rate Wholesale price Abad and Jaggi 39 Retail price sensitive Constant Constant — Constant Jaber and Osman 40 Constant — — — Constant Yang and Wee 41 Retail price sensitive — Constant — Constant Sheen and T...

energy carriers including electricity play a critical role in human societies development, and as the time passes, their importance in the human socio-economic life rises. therefore, knowing electricity demand and the factors affecting on it could have an effective role in economic decision-making. while dividing electricity demand into different consuming sectors, this study uses economic vari...

in this paper, we present the stochastic version of maximal covering location problem which optimizes both location and allocation decisions, concurrently. it’s assumed that traveling time between customers and distribution centers (dcs) is uncertain and described by normal distribution function and if this time is less than coverage time, the customer can be allocated to dc. in classical model...

This paper discusses the issue of order crossover and its effects in order point, lot size (s, Q) inventory systems. Orders are likely to cross when their lead times are stochastic. Two inventory systems are considered to examine the consequences of order crossover. The first inventory system considers a fast moving item having deterministic demand and stochastic lead time. It is assumed lead t...

The subject of this article is the simultaneous choice of product price and manufacturing capacity if demand is stochastic and service-level sensitive. In this setting, capacity as well as price have an impact on demand because several aspects of service level depend on capacity. For example, delivery time will be reduced if capacity is increased given a constant demand rate. We illustrate the ...