Integer and combinatorial optimization
Integer and combinatorial optimization
Economic lot sizing: an O(n log n) algorithm that runs in linear time in the Wagner-Whitin case
Operations Research - Supplement
Improved algorithms for economic lot size problems
Operations Research
A Multi-Stage Stochastic Integer Programming Approach for Capacity Expansion under Uncertainty
Journal of Global Optimization
Modelling Practical Lot-Sizing Problems as Mixed-Integer Programs
Management Science
A Dynamic Lot-Sizing Model with Demand Time Windows
Management Science
bc -- prod: A Specialized Branch-and-Cut System for Lot-Sizing Problems
Management Science
A branch-and-cut algorithm for the stochastic uncapacitated lot-sizing problem
Mathematical Programming: Series A and B
Decomposition with branch-and-cut approaches for two-stage stochastic mixed-integer programming
Mathematical Programming: Series A and B
Production Planning by Mixed Integer Programming (Springer Series in Operations Research and Financial Engineering)
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Since Wagner and Whitin published a seminal paper on the deterministic uncapacitated lot-sizing problem, many other researchers have investigated the structure of other fundamental models on lot-sizing that are embedded in practical production planning problems. In this paper we consider basic versions of such models in which demand (and other problem parameters) are stochastic rather than deterministic. It is named stochastic uncapacitated lot-sizing problem with backlogging. We define a production path property of optimal solutions for this model and use this property to develop backward dynamic programming recursions. This approach allows us to show that the value function is piecewise linear and continuous, which we can further use to define a polynomial time algorithm for the problem in a general stochastic scenario tree setting.