A Branch-and-Price Algorithm for Multistage Stochastic Integer Programming with Application to Stochastic Batch-Sizing Problems

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 bas...

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Vydáno v:Management science Ročník 50; číslo 6; s. 786 - 796
Hlavní autoři: Lulli, Guglielmo, Sen, Suvrajeet
Médium: Journal Article
Jazyk:angličtina
Vydáno: Linthicum INFORMS 01.06.2004
Institute for Operations Research and the Management Sciences
Edice:Management Science
Témata:
Algorithms
Batch processing
batch sizing
branch-and-price algorithm
Business studies
Integer programming
Management science
Mathematical models
Prices
Programming
Stochastic processes
stochastic programming
Studies
ISSN:0025-1909, 1526-5501
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Shrnutí: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.
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ISSN:0025-1909
1526-5501
DOI:10.1287/mnsc.1030.0164