Dynamic Stochastic Programming for Agricultural Value Chain Coordination Under Market and Climate Co-Uncertainty in the Sahel Region of Nigeria

Agricultural value chain coordination in Nigeria's Sahel-adjacent northern states faces a dual uncertainty environment in which market price volatility and climate variability interact in complex ways that existing single-uncertainty stochastic programming models fail to capture, generating coordination failures with severe livelihood consequences for millions of smallholder farming households. This dissertation develops dynamic stochastic programming models for agricultural value chain coordination under co-uncertainty from market and climate sources, making original methodological and theoretical contributions to multi-stage stochastic programming and agricultural operations research. The co-uncertainty modelling challenge is addressed through an original bivariate stochastic process for correlated climate and market price dynamics, fitted to 20 years of rainfall and commodity price data for groundnuts and sesame in Kano, Katsina, and Jigawa States. A multi-stage stochastic programming model of value chain coordination decisions, encompassing input procurement, planting decisions, post-harvest storage, and market timing, is formulated with a scenario tree derived from the bivariate stochastic process using an original moment-matching scenario generation procedure. Theoretical contributions include optimality conditions for the multi-stage coordination equilibrium under co-uncertainty and a new decomposition algorithm extending progressive hedging to handle correlated scenario structures. Empirical results quantify the value of coordination mechanisms including futures contracts, warehouse receipt systems, and cooperative marketing arrangements, finding that combined coordination reduces expected income variance by 52 percent while increasing expected income by 18 percent. The dissertation advances stochastic programming theory and provides an original analytical framework for agricultural value chain policy in Nigeria's northern states. Keywords: stochastic programming, agricultural value chain, co-uncertainty, Sahel, coordination