This paper examines the single-commodity network design problem with stochastic edge capacities. We characterize the structures of the optimal designs and compare with the deterministic counterparts. We do this partly to understand what constitutes robust network designs, but also to construct a...

We discuss the challenges and difficulties arising when approaching and modelling the consumer-directed substitution problem in quick response supply chains. Further, we propose heuristic solutions suited for large problems with complex uncertainty and dependency patterns. Despite the...

We examine the stability of a portfolio management model based on the conditional value-at-risk (CVaR) measure; the model controls risk exposure of international investment portfolios. We use a moment-matching method to generate discrete distributions (scenario sets) of asset returns and exchange...

We present a simple approach to transform a deterministic numerical model, where several agents simultaneously make decisions, into a stochastic model. This approach, which builds on scenario aggregation, a numerical method developed to solve decision problems under uncertainty, is used to build...

This paper presents a new heuristic for generating scenarios for two-stage stochastic programs. The method uses copulas to describe the dependence between the marginal distributions, instead of the more common correlations. The heuristic is then tested on a simple portfolio-selection model, and...

Infrastructure-planning models are challenging because of their combination of different time scales: while planning and building the infrastructure involves strategic decisions with time horizons of many years, one needs an operational time scale to get a proper picture of the...