Corpus ID: 153312530

A Flexible Multi-Facility Capacity Expansion Problem with Risk Aversion

@article{Zhao2019AFM,
  title={A Flexible Multi-Facility Capacity Expansion Problem with Risk Aversion},
  author={Sixiang Zhao and W. Haskell and M. Cardin},
  journal={arXiv: Optimization and Control},
  year={2019}
}
This paper studies flexible multi-facility capacity expansion with risk aversion. In this setting, the decision maker can periodically expand the capacity of facilities given observations of uncertain demand. We model this situation as a multi-stage stochastic programming problem. We express risk aversion in this problem through conditional value-at-risk (CVaR), and we formulate a mean-CVaR objective. To solve the multi-stage problem, we optimize over decision rules. In particular, we… Expand
Mitigating investment risk using modular technologies
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A multi-stage stochastic programming formulation that determines optimal capacity expansion plans that mitigate demand uncertainty is proposed and it is argued that this approach is more compatible with typical investment metrics such as the net present value. Expand

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