RISK ANALYSIS OF SOURCING PROBLEM USING STOCHASTIC PROGRAMMING

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KEYVANLOO M.; KIMIAGARI A.M.; ESFAHANIPOUR A.

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Journal Paper

Paper Information

Journal: Scientia Iranica Year:2014 | Volume:21 | Issue:3 (TRANSACTIONS E: INDUSTRIAL ENGINEERING) Page(s): 1034-1043

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Information Journal Paper

Title

RISK ANALYSIS OF SOURCING PROBLEM USING STOCHASTIC PROGRAMMING

Author(s)

KEYVANLOO M. | KIMIAGARI A.M. | ESFAHANIPOUR A. | Issue Writer Certificate

Keywords

SUPPLY CONTRACT

RISK MEASURE

ECIENT FRONTIER

OPTION CONTRACT

UNCERTAIN DEMAND

UNCERTAIN PRICE

STOCHASTIC PROCESS

STOCHASTIC PROGRAMMING

Abstract

Nowadays, the sourcing problem has become more challenging for supply chain members. Dierent types of sourcing for dierent market conditions are presented in the literature. In this paper, an OPTION CONTRACT, as an ecient tool for sourcing, is developed in a multi-period setting in which the price and demand follow two STOCHASTIC PROCESSes. The sourcing decision is analyzed from a risk neutral and a risk averse decision-maker point of view. This paper applies the STOCHASTIC PROGRAMMING approach to model the presented OPTION CONTRACT based on price and demand uncertainties. Next, using CVaR as a coherent RISK MEASURE, the eects of risk on sourcing problem are studied. By numerical example, using the presented ECIENT FRONTIER, the simulation results of our developed models show that the decision maker can make a trade-obetween risk and cost associated with the sourcing problem. The paper also performs a sensitivity analysis in order to demonstrate the eects of change in cost parameters on the results of our option model.

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APA: Copy

KEYVANLOO, M., KIMIAGARI, A.M., & ESFAHANIPOUR, A.. (2014). RISK ANALYSIS OF SOURCING PROBLEM USING STOCHASTIC PROGRAMMING. SCIENTIA IRANICA, 21(3 (TRANSACTIONS E: INDUSTRIAL ENGINEERING)), 1034-1043. SID. https://sid.ir/paper/290272/en

Vancouver: Copy

KEYVANLOO M., KIMIAGARI A.M., ESFAHANIPOUR A.. RISK ANALYSIS OF SOURCING PROBLEM USING STOCHASTIC PROGRAMMING. SCIENTIA IRANICA[Internet]. 2014;21(3 (TRANSACTIONS E: INDUSTRIAL ENGINEERING)):1034-1043. Available from: https://sid.ir/paper/290272/en

IEEE: Copy

M. KEYVANLOO, A.M. KIMIAGARI, and A. ESFAHANIPOUR, “RISK ANALYSIS OF SOURCING PROBLEM USING STOCHASTIC PROGRAMMING,” SCIENTIA IRANICA, vol. 21, no. 3 (TRANSACTIONS E: INDUSTRIAL ENGINEERING), pp. 1034–1043, 2014, [Online]. Available: https://sid.ir/paper/290272/en

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