Stochastic programming-approaches for integrating operational and financial decisions

这项研究的目的是为生产和物流中的重要问题开发数学规划模型和解决方法，将运营和财务角度结合起来。随着市场的日益全球化和电力工业等行业的重组，出现了新的机会来模拟需要联合考虑运营和财务决策的问题。此外，市场和行业的日益自由化导致现代社会重要资源的价格和数量的不确定性前所未有地增加。传统模式将财务决策和运营决策分开、独立地对待。这些典型模型的决策在现代环境中可能完全无关紧要。为此，我们的目标是为金融工具/机制或实物期权决策普遍存在的能源和交通问题开发独特的随机规划模型。将开发基于数学规划、分解和启发式的求解方法，以利用模型的特定结构。我们建立了两类随机模型。第一类问题将侧重于以优化为基础的框架，以评估在标准方法下难以评估的资产的能源合同和其他衍生品/合同的投资组合。另一类模型和方法将侧重于不确定情况下的运输采购，其中使用(组合)拍卖等金融框架将业务分配给相互竞争的运输供应商。这些新的模型类别及其解决方法将大大改善电力和交通部门等社会许多重要领域的决策支持。

The objective of the research is to develop mathematical programming models and solution methods for important problems in production and logistics that integrate both operational and financial perspectives. With increasing globalization of markets and re-structuring of industries e.g. power industry new opportunities arise for modeling problems where operational and financial decisions need to be jointly considered. Furthermore, the increasing liberalization of markets and industries has created an unprecedented increase in uncertainty in prices and quantities for vital resources in modern society. Traditional models treat the financial and operational decisions separately and independently. Decisions from these typical models can be vastly irrelevant in modern environments. To this end, we aim to develop unique stochastic programming models for problems in energy and transportation where financial instruments/mechanisms or real option decisions are prevalent. Solution methods based on mathematical programming decomposition and heuristics will be developed that exploit the specific structure of the models. We develop two classes of stochastic models. The first class of problems will focus on optimization-based frameworks to evaluate portfolios of energy contracts and other derivatives/contracts for assets that are difficult to evaluate under standard methods. Another class of models and methods will focus on transportation procurement under uncertainty where financial frameworks such as (combinatorial) auctions are used to allocate business to competing transportation providers. These new classes of models and their solution methods will enable greatly improved decision support in many vital areas of society such as the power and transportation sectors.