Modeling Supply Chain Planning Under Demand Uncertainty Using Stochastic Programming: A Survey Motivated by Asset-Liability Management

International Journal of Production Economics, Forthcoming

34 Pages Posted: 22 Jun 2006 Last revised: 26 May 2009

See all articles by ManMohan S. Sodhi

ManMohan S. Sodhi

City University London - Sir John Cass Business School

Christopher S. Tang

University of California, Los Angeles (UCLA) - Decisions, Operations, and Technology Management (DOTM) Area

Date Written: January 20, 2009

Abstract

We extend the linear programming (LP) model of deterministic supply-chain planning to take demand uncertainty and cash flows into account for the medium term. The resulting stochastic LP model is similar to that of Asset-Liability Management (ALM), for which the literature using stochastic programming is extensive. As such, we survey various modeling and solution choices developed in the ALM literature and discuss their applicability to supply chain planning. This survey can be a basis for making modeling/solution choices in research and in practice to manage the risks pertaining to unmet demand, excess inventory and cash liquidity when demand is uncertain.

Keywords: supply chain risk, risk measures, asset-liability management, stochastic programming

JEL Classification: C61, D81, M11

Suggested Citation

Sodhi, ManMohan S. and Tang, Christopher S., Modeling Supply Chain Planning Under Demand Uncertainty Using Stochastic Programming: A Survey Motivated by Asset-Liability Management (January 20, 2009). International Journal of Production Economics, Forthcoming, Available at SSRN: https://ssrn.com/abstract=910579

ManMohan S. Sodhi (Contact Author)

City University London - Sir John Cass Business School ( email )

106 Bunhill Row
London, EC1Y 8TZ
United Kingdom

Christopher S. Tang

University of California, Los Angeles (UCLA) - Decisions, Operations, and Technology Management (DOTM) Area ( email )

110 Westwood Plaza
Los Angeles, CA 90095-1481
United States

HOME PAGE: http://www.anderson.ucla.edu/x980.xml

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