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

Franco Quezada (1) , Céline Gicquel , Safia Kedad-Sidhoum (2)

1 RO - Recherche Opérationnelle
2 CEDRIC - OC - CEDRIC. Optimisation Combinatoire

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]

Franco Quezada, Céline Gicquel, Safia Kedad-Sidhoum. A Stochastic Dual Dynamic Integer Programming for the Uncapacitated Lot-Sizing Problem with Uncertain Demand and Costs. ICAPS2019 - 29th International Conference on Automated Planning and Scheduling, Jul 2019, Berkeley, United States. pp.353-361, ⟨10.1609/icaps.v29i1.3498⟩. ⟨hal-02421766⟩