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618. Multi-product stochastic inventory problem with business overdraft
Invited abstract in session TC-39: Inventory Models, stream Stochastic Modelling.
Tuesday, 12:30-14:00Room: 35 (building: 306)
Authors (first author is the speaker)
| 1. | zhen chen
|
| Brunel University London |
Abstract
We consider a multi-product stochastic inventory problem in which the retailer faces cash constraints but it can leverages business overdraft to deal with unexpected cash shortage. We propose a stochastic programming formulation for this problem and apply stochastic dual dynamic programming (SDDP) to solve it. Some of the improvements of SDDP are considered and developed to make the algorithm more computational efficient. Finally, numerical experiments are conducted to evaluate the performance of SDDP and obtain managerial insights.
Keywords
- Stochastic Optimization
- Inventory
- Mathematical Programming
Status: accepted
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