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

Authors

  • 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.

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Published

2021-05-25

How to Cite

Quezada, F., Gicquel, C., & Kedad-Sidhoum, S. (2021). A Stochastic Dual Dynamic Integer Programming for the Uncapacitated Lot-Sizing Problem with Uncertain Demand and Costs. Proceedings of the International Conference on Automated Planning and Scheduling, 29(1), 353-361. Retrieved from https://ojs.aaai.org/index.php/ICAPS/article/view/3498