A Stochastic Dual Dynamic Integer Programming for the Uncapacitated Lot-Sizing Problem with Uncertain Demand and Costs
Résumé
We study the uncapacitated lot-sizing problem with uncertain demand and costs. We consider a multi-stage decision process and rely on a scenario tree to represent the uncertainty. We propose to solve this stochastic combinatorial optimization problem thanks to a new extension of the stochastic dual dynamic integer programming algorithm. Our results show that this approach can provide good quality solutions in a reasonable time for large-size instances.
Domaines
Recherche opérationnelle [math.OC]| Origine | Fichiers éditeurs autorisés sur une archive ouverte |
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