%0 Journal Article %T A practical implementation of stochastic programming: an application to the evaluation of option contracts in supply chains %+ Groupement de Recherche et d'Etudes en Gestion à HEC (GREGH) %A van Delft, Christian %A Vial, Jean-Philippe %< avec comité de lecture %@ 0005-1098 %J Automatica %I Elsevier %V Vol.40,n°5 %P 743-756 %8 2004-05-01 %D 2004 %R 10.1016/j.automatica.2003.12.008 %K Linear stochastic programming %K Algebraic modeling language %K Sequential decision-making problem %K Event tree %Z Humanities and Social Sciences/Business administration/domain_shs.gestion.man-opJournal articles %X Stochastic programming is a powerful analytical method in order to solve sequential decision-making problems under uncertainty. We describe an approach to build such stochastic linear programming models. We show that algebraic modeling languages make it possible for non-specialist users to formulate complex problems and have solved them by powerful commercial solvers. We illustrate our point in the case of option contracts in supply chain management and propose a numerical analysis of performance. We propose easy-to-implement discretization procedures of the stochastic process in order to limit the size of the event tree in a multi-period environment. %G English %L hal-00471409 %U https://hec.hal.science/hal-00471409 %~ SHS %~ HEC %~ CNRS