The L-Shaped Method for Stochastic Programs with Decision-Dependent Uncertainty
Fuente:
arXiv
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| Autori principali: | , |
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| Natura: | Preprint |
| Pubblicazione: |
2025
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| _version_ | 1866908428013666304 |
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| author | Pantuso, Giovanni Hewitt, Mike |
| author_facet | Pantuso, Giovanni Hewitt, Mike |
| contents | 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. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2506_12753 |
| institution | arXiv |
| publishDate | 2025 |
| record_format | arxiv |
| spellingShingle | The L-Shaped Method for Stochastic Programs with Decision-Dependent Uncertainty Pantuso, Giovanni Hewitt, Mike Optimization and Control 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. |
| title | The L-Shaped Method for Stochastic Programs with Decision-Dependent Uncertainty |
| topic | Optimization and Control |
| url | https://arxiv.org/abs/2506.12753 |