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A polyhedral study of the static probabilistic lot-sizing problem

Author

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  • Xiao Liu

    (The Ohio State University)

  • Simge Küçükyavuz

    (University of Washington)

Abstract

We study the polyhedral structure of the static probabilistic lot-sizing problem and propose valid inequalities that integrate information from the chance constraint and the binary setup variables. We prove that the proposed inequalities subsume existing inequalities for this problem, and they are facet-defining under certain conditions. In addition, we show that they give the convex hull description of a related stochastic lot-sizing problem. We propose a new formulation that exploits the simple recourse structure, which significantly reduces the number of variables and constraints of the deterministic equivalent program. This reformulation 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 the static probabilistic lot-sizing problems.

Suggested Citation

  • Xiao Liu & Simge Küçükyavuz, 2018. "A polyhedral study of the static probabilistic lot-sizing problem," Annals of Operations Research, Springer, vol. 261(1), pages 233-254, February.
    • Handle: RePEc:spr:annopr:v:261:y:2018:i:1:d:10.1007_s10479-017-2641-x
    DOI: 10.1007/s10479-017-2641-x
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    References listed on IDEAS

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