A branch-and-price algorithm for multistage stochastic integer programming with application to stochastic batch-sizing problems

Lulli, Guglielmo and Sen, Suvrajeet (2004) A branch-and-price algorithm for multistage stochastic integer programming with application to stochastic batch-sizing problems. Management Science, 50 (6). pp. 786-796. ISSN 0025-1909

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Abstract

In this paper, we present a branch-and-price method to solve special structured multistage stochastic integer programming problems. We validate our method on two different versions of a multistage stochastic batch-sizing problem (SBSP). One version adopts a recourse formulation, and the other is based on probabilistic constraints. Our algorithmic approach is applicable to both formulations. Our computational results suggest that both classes of problems can be solved using relatively few nodes of a branch-and-price tree. The success of our approach calls for extensions in methodology as well as applications.

Item Type: Journal Article
Journal or Publication Title: Management Science
Uncontrolled Keywords: Batch sizing ; Branch-and-price algorithm ; Integer programming ; Stochastic programming
Departments: Lancaster University Management School > Management Science
ID Code: 75956
Deposited By: ep_importer_pure
Deposited On: 21 Oct 2015 05:02
Refereed?: Yes
Published?: Published
Last Modified: 11 Jun 2019 02:37
URI: https://eprints.lancs.ac.uk/id/eprint/75956

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