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2005-07-06Buch DOI: 10.18452/8344
The value of multi-stage stochastic programming in capacity planning under uncertainty
dc.contributor.authorHuang, Kai
dc.contributor.authorAhmed, Shabbir
dc.contributor.editorHigle, Julie L.
dc.contributor.editorRömisch, Werner
dc.contributor.editorSen, Surrajeet
dc.date.accessioned2017-06-16T20:05:18Z
dc.date.available2017-06-16T20:05:18Z
dc.date.created2006-03-08
dc.date.issued2005-07-06
dc.date.submitted2005-04-29
dc.identifier.urihttp://edoc.hu-berlin.de/18452/8996
dc.description.abstractThis 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, we develop a multi-stage stochastic integer programming formulation for the problem. In contrast to earlier two-stage approaches, the multi-stage model allows for revision of the capacity expansion plan as more information regarding the uncertainties is revealed. We provide analytical bounds for the value of multi-stage stochastic programming (VMS) afforded over the two-stage approach. By exploiting a special lot-sizing substructure inherent in the problem, we develop an effient approximation scheme for the diffult multi-stage stochastic integer program and prove that the proposed scheme is asymptotically optimal. Computational experiments with realistic-scale problem instances suggest that the VMS for this class of problems is quite high. Moreover the quality and performance of the approximation scheme is very satisfactory. Fortunately, this is more so for instances for which the VMS is high.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Mathematisch-Naturwissenschaftliche Fakultät II, Institut für Mathematik
dc.rights.urihttp://rightsstatements.org/vocab/InC/1.0/
dc.subjectMulti-stage stochastic programmingeng
dc.subjectcapacity planningeng
dc.subjectsemiconductor tool planningeng
dc.subjectstochastic lot-sizingeng
dc.subjectanalysis of algorithmseng
dc.subject.ddc510 Mathematik
dc.titleThe value of multi-stage stochastic programming in capacity planning under uncertainty
dc.typebook
dc.identifier.urnurn:nbn:de:kobv:11-10059913
dc.identifier.doihttp://dx.doi.org/10.18452/8344
local.edoc.pages32
local.edoc.type-nameBuch
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
dc.identifier.zdb2936317-2
bua.series.nameStochastic Programming E-Print Series
bua.series.issuenumber2005,15

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