On robust lot sizing problems with storage deterioration, with applications to heat and power cogeneration

We consider a variant of the single item lot sizing problem where the product, when stored, suffers from a proportional loss, and in which the product demand is affected by uncertainty. This setting is particularly relevant in the energy sector, where the demands must be satisfied in a timely manner and storage losses are, often, unavoidable. We propose a two-stage robust optimization approach to tackle the problem with second stage storage variables. We first show that, in the case of uncertain demands, the robust problem can be solved as an instance of the deterministic one. We then address an application of robust lot sizing arising in the context of heat and power cogeneration and show that, even in this case, we can solve the problem as an instance of the deterministic lot sizing problem. Computational experiments are reported and illustrated.