View Related Documents

Abstract

This paper addresses a multi-stage stochastic integer programming formulation of the uncapacitated lot-sizing problem under uncertainty. We show that the classical (ℓ,S) inequalities for the deterministic lot-sizing polytope are also valid for the stochastic lot-sizing polytope. We then extend the (ℓ,S) inequalities to a general class of valid inequalities, called the MediaObjects/s10107-005-0572-9flb1.gif inequalities, and we establish necessary and sufficient conditions which guarantee that the MediaObjects/s10107-005-0572-9flb1.gif inequalities are facet-defining. A separation heuristic for MediaObjects/s10107-005-0572-9flb1.gif inequalities is developed and incorporated into a branch-and-cut algorithm. A computational study verifies the usefulness of the MediaObjects/s10107-005-0572-9flb1.gif inequalities as cuts.

Keywords  Stochastic Lot-Sizing - Multi-stage Stochastic Integer Programming - Polyhedral Study - Branch-and-Cut

This research has been supported in part by the National Science Foundation under Award number DMII-0121495.

Fulltext Preview

Image of the first page of the fulltext document