Browsing by Author "Ahmed, Shabbir"

Now showing items 1-9 of 9

2004-02-21Buch

A branch-and-cut algorithm for the stochastic uncapacitated lot-sizing problem

Guan, Yongpei; Ahmed, Shabbir; Nemhauser, George L.

This paper addresses a multi-stage stochastic integer programming formulation of the uncapacitated lot-sizing problem under uncertainty. We show that the classical $(\mathcal{l}, S)$ inequalities for the deterministic ...
2005-01-10Buch

A Branch-Reduce-Cut Algorithm for the Global Optimization of Probabilistically Constrained Linear Programs

Cheon, Myun-Seok; Ahmed, Shabbir; Al-Khayyal, Faiz

We consider probabilistic constrained linear programs with general distributions for the uncertain parameters. These problems generally involve non-convex feasible sets. We develop a branch and bound algorithm that searches ...
2000-07-04Buch

A finite branch and bound algorithm for two-stage stochastic integer programs

Ahmed, Shabbir; Tawarmalani, Mohit; Sahinidis, Nikolas V.

This paper addresses a general class of two-stage stochastic programs with integer recourse and discrete distributions. We exploit the structure of the value function of the second stage integer problem to develop a novel ...
2001-04-20Buch

A multi-stage stochastic integer programming approach for capacity expansion under uncertainty

Ahmed, Shabbir; King, Alan J.; Parija, Gyana

This paper addresses a multi-period investment model for capacity expansion in an uncertain environment. Using a scenario tree approach to model the evolution of uncertain demand and cost parameters, and fixed-charge cost ...
2003-07-07Buch

A stochastic programming approach for supply chain network design under uncertainty

Santoso, Tjendera; Ahmed, Shabbir; Goetschalckx, Marc; Shapiro, Alexander

This paper proposes a stochastic programming model and solution algorithm for solving sup-ply chain network design problems of a realistic scale. Existing approaches for these problems are either restricted to deterministic ...
2006-01-02Buch

Coherent Risk Measures in Inventory Problems

Ahmed, Shabbir; Cakmak, Ulas; Shapiro, Alexander

We analyze an extension of the classical multi-period, single-item, linear cost inventory problem where the objective function is a coherent risk measure. Properties of coherent risk measures allow us to offer a unifying ...
2006-11-21Buch

Cutting planes for multi-stage stochastic integer programs

Guan, Yongpei; Ahmed, Shabbir; Nemhauser, George L.

This paper addresses the problem of finding cutting planes for multi-stage stochastic integer programs.We give a general method for generating cutting planes for multi-stage stochastic integer programs basedon combining ...
2004-04-16Buch

Mean-risk objectives in stochastic programming

Ahmed, Shabbir

Traditional stochastic programming is risk neutral in the sense that it is concerned with the optimization of an expectation criterion. A common approach to addressing risk in decision making problems is to consider a ...
2005-07-06Buch

The value of multi-stage stochastic programming in capacity planning under uncertainty

Huang, Kai; Ahmed, Shabbir

This paper addresses a general class of capacity planning problems under uncertainty, which arises, for example, in semiconductor tool purchase planning. Using a scenario tree to model the evolution of the uncertainties, ...