The L-Shaped Method for Stochastic Programs with Decision-Dependent Uncertainty
Optimization and Control
2025-07-01 v1
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.
Cite
@article{arxiv.2506.12753,
title = {The L-Shaped Method for Stochastic Programs with Decision-Dependent Uncertainty},
author = {Giovanni Pantuso and Mike Hewitt},
journal= {arXiv preprint arXiv:2506.12753},
year = {2025}
}
Comments
Appearing in Mathematical Programming