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A Multi-Stage Stochastic Integer Programming Approach for Capacity Expansion under Uncertainty
 

Summary: A Multi-Stage Stochastic Integer Programming Approach
for Capacity Expansion under Uncertainty
Shabbir Ahmed
School of Industrial & Systems Engineering,
Georgia Institute of Technology,
765 Ferst Drive, Atlanta, GA 30332
Alan J. King
Mathematical Sciences Division,
IBM T. J. Watson Research Center,
Yorktown Heights, NY 10598
Gyana Parija
Mathematical Sciences Division,
IBM T. J. Watson Research Center,
Yorktown Heights, NY 10598
November 15, 2000.
Revised: July 24, 2001.
Abstract. 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 param-
eters, and fixed-charge cost functions to model the economies of scale in expansion costs, we develop a
multi-stage stochastic integer programming formulation for the problem. A reformulation of the problem is

  

Source: Ahmed, Shabbir - School of Industrial and Systems Engineering, Georgia Institute of Technology

 

Collections: Engineering