RELATIVE RISK CHARACTERISTICS OF ROLLING HORIZON HEDGING HEURISTICS FOR CAPACITY EXPANSION
作者:
CHARLESD. MCALLISTER,
SARAHM. RYAN,
期刊:
The Engineering Economist
(Taylor Available online 2000)
卷期:
Volume 45,
issue 2
页码: 115-128
ISSN:0013-791X
年代: 2000
DOI:10.1080/00137910008967540
出版商: Taylor & Francis Group
数据来源: Taylor
摘要:
This paper applies measures of risk to capacity expansion decisions made under uncertainty. Eight different decision making rules are constructed by varying both the frequency of the forecast updates and the hedge against uncertainty in a rolling horizon heuristic procedure. Using demand, capacity, and cost data from the utility division of a manufacturing company, the risk characteristics of each decision making rule are evaluated by simulation. The results indicate that annual forecast revisions hedged by ninety percent prediction limits are preferred over decision rules with less frequent forecast revisions or fixed-width hedges.
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