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...

Full description

Saved in:
Bibliographic Details
Published in:Management science Vol. 50; no. 6; pp. 786 - 796
Main Authors: Lulli, Guglielmo, Sen, Suvrajeet
Format: Journal Article
Language:English
Published: Linthicum INFORMS 01.06.2004
Institute for Operations Research and the Management Sciences
Series:Management Science
Subjects:
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 Access:Get full text
Tags: Add Tag
No Tags, Be the first to tag this record!
Description
Summary: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.
Bibliography:SourceType-Scholarly Journals-1
ObjectType-Feature-1
content type line 14
ObjectType-Article-2
content type line 23
ISSN:0025-1909
1526-5501
DOI:10.1287/mnsc.1030.0164