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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Veröffentlicht in:Management science Jg. 50; H. 6; S. 786 - 796
Hauptverfasser: Lulli, Guglielmo, Sen, Suvrajeet
Format: Journal Article
Sprache:Englisch
Veröffentlicht: Linthicum INFORMS 01.06.2004
Institute for Operations Research and the Management Sciences
Schriftenreihe:Management Science
Schlagworte:
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
Online-Zugang:Volltext
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Beschreibung
Zusammenfassung: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