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 computer-assisted 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(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)
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