ManMohan S. Sodhi

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Dynamic linear programming (LP) models for asset-liability management (ALM) are quite powerful and flexible but face two challenges: (1) many modeling choices, not all consistent with one another or with finance theory, and (2) solution difficulties due to the large number of scenarios obtained from standard interest-rate models. We first survey these(More)
We present a general modeling approach to crew rostering and its application to computerassisted generation of rotation-based rosters (or rotas) at the London Underground. Our goals were flexibility, speed, and optimality, and our approach is unique in that it achieves all three. Flexibility was important because requirements at the Underground are evolving(More)
We show how to extend the demand-planning stage of the sales-and-operations-planning (S&OP) process with a spreadsheet implementation of a stochastic programming model that determines the supply requirement while optimally trading off risks of unmet demand, excess inventory, and inadequate liquidity in the presence of demand uncertainty. We first present(More)