A Stochastic Dual Dynamic Integer Programming for the Uncapacitated Lot-Sizing Problem with Uncertain Demand and Costs

Franco Quezada 1 Céline Gicquel 2 Safia Kedad-Sidhoum 3
1 RO - Recherche Opérationnelle
LIP6
2 LRI - Laboratoire de Recherche en Informatique
3 CEDRIC - OC - CEDRIC. Optimisation Combinatoire
CEDRIC - Centre d'études et de recherche en informatique et communications
Abstract : 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.
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Submitted on : Friday, February 7, 2020 - 11:14:38 AM
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Franco Quezada, Céline Gicquel, Safia Kedad-Sidhoum. A Stochastic Dual Dynamic Integer Programming for the Uncapacitated Lot-Sizing Problem with Uncertain Demand and Costs. 29th International Conference on Automated Planning and Scheduling ICAPS2019, Jul 2019, Berkeley, United States. pp.353-361. ⟨hal-02421766⟩

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