The L-Shaped Method for Stochastic Programs with Decision-Dependent Uncertainty

2025/06/15 by Pantuso, Giovanni, Hewitt, Mike · 2 citations
#FOS: Mathematics #Optimization and Control (math.OC)

paper · doi:10.48550/arxiv.2506.12753

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.

Citations

• Production Planning Under Demand and Endogenous Supply Uncertainty
• Computability of global solutions to factorable nonconvex programs: Part I — Convex underestimating problems

Cited by

• Solution of Stochastic Facility Location Problems with Combinatorially many Decision-Dependent Distributions
• Capacity Planning in Stable Matching with Truthful or Strategic Preference Uncertainty

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