The L-Shaped Method for Stochastic Programs with Decision-Dependent Uncertainty
Reviewed by Pith T0 review T1 audit T2 compute T3 formal T4 kernel pith:6U3ESNOVrecord.jsonopen to challenge →
classification
math.OC
keywords
methodstochasticdecision-dependentl-shapedproblemsprogramsuncertaintycuts
read the original abstract
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.
This paper has not been read by Pith yet.
discussion (0)
Sign in with ORCID, Apple, or X to comment. Anyone can read and Pith papers without signing in.