1 présentation

• 
  14h00 - 15h00

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

  • Mike Hewitt, prés., Loyola University Chicago
  • Giovanni Pantuso, Department of Mathematical Sciences, University of Copenhagen

  We begin with a discussion of agribusiness and how optimization can play a role in planning its supply chain operations. We then discuss an optimization problem for one of those operations that is in use in practice and inspired the production planning problem considered in this research. In this problem, both the demand for finished goods of products is uncertain as well as the production yields at facilities that make those products. Further, the uncertainty in production yields is endogenous as it depends in part on production amounts at facilities. We present a simple technique for modeling endogenous uncertainty in this context and an adaptation of the L-shaped method to solve the resulting model. We finish with an overview of generalizing this modeling technique to other problems.