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A Polyhedral Study of the Static Probabilistic Lot-Sizing Problem

Xiao Liu (liu.2738***at***osu.edu)
Simge Kucukyavuz (kucukyavuz.2***at***osu.edu)

Abstract: We study the polyhedral structure of the static probabilistic lot-sizing (SPLS) problem and propose facets that subsume existing inequalities for this problem. In addition, the proposed inequalities give the convex hull description of a related stochastic lot-sizing problem. We propose a new compact formulation that exploits the simple recourse structure, which can be applied to general chance-constrained programs with simple recourse. The computational results show that the proposed inequalities and the new formulation are effective for SPLS.

Keywords: chance constraints; lot sizing; valid inequalities; facets; branch and cut; simple recourse reformulation

Category 1: Applications -- OR and Management Sciences

Category 2: Integer Programming ((Mixed) Integer Linear Programming )

Category 3: Integer Programming (Cutting Plane Approaches )


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Entry Submitted: 03/07/2016
Entry Accepted: 03/07/2016
Entry Last Modified: 03/07/2016

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