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

  • Franco Quezada Sorbonne Université, LIP6
  • Céline Gicquel Université Paris Saclay, LRI
  • Safia Kedad-Sidhoum Conservatoire National des Arts et Métiers

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.

Published
2019-07-06