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arXiv · 2506.12753

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

Giovanni Pantuso·Mike Hewitt
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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.

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Giovanni Pantuso, Mike Hewitt. 2025-06-15. The L-Shaped Method for Stochastic Programs with Decision-Dependent Uncertainty. https://doi.org/10.1007/s10107-025-02246-9

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