The L-shaped method for stochastic programs with decision-dependent uncertainty

• 成果类型: Article; Early Access
• 署名作者: Pantuso, Giovanni; Hewitt, Mike
• 署名单位: University of Copenhagen; Loyola University Chicago
• 刊物名称: MATHEMATICAL PROGRAMMING
• ISSN/ISSBN: 0025-5610
• DOI: 10.1007/s10107-025-02246-9
• 发表日期: 2025
• 关键词: strategies

摘要

In this paper we extend the well-known L-Shaped method to solve two-stage stochastic programming problems with decision-dependent uncertainty. The method is based on a novel, unifying, formulation and on distribution-specific optimality and feasibility cuts for both linear and integer stochastic programs. Extensive tests on three production planning problems illustrate that the method is extremely effective on large-scale instances.