Solving two-stage stochastic quadratic production planning problems
نویسندگان
چکیده
In this paper we formulate a two-stage stochastic quadratic optimization problem, that models a production planning problem of multiple products, over several time periods, with uncertain demands. This model considers quadratic inventory holding and demand backlogging recourse costs, which model the saturation phenomenon inherent to the increase of the inventory and/or backlogged demand levels. Next, we apply a decomposition algorithm for solving a general two-stage stochastic convex quadratic continuous problems. The resulting algorithm essentially reduces to the solution of a sequence of linear optimization problems of the same nature of the underlying deterministic problem in the linear case. Finally, some numerical experiences using AMPL/CPLEX are reported.
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