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SPEPS Preprint

Author(s): Guglielmo Lulli, University of Arizona
Suvrajeet Sen, University of Arizona
Title: A branch-and-price algorithm for multi-stage stochastic integer programming with application to stochastic batch-sizing problems
Date of Acceptance: 24.10.2002
Submission Date: 23.04.2002
Series Title: Stochastic Programming E-Print Series
(SPEPS)
Editors: Julie L. Higle; Werner Römisch; Surrajeet Sen
Keywords (eng): Stochastic programming, integer programming, batch-sizing, branch-and-price algorithm
Appeared in: Management science : journal of the Institute for Operations Research and the Management Sciences 6 (Vol. 50, 2004)
Management science [Elektronische Ressource] : journal of the Institute for Operations Research and the Management Sciences (Linthicum, Md. [u.a.])
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Abstract (eng):
In this paper we present a branch-and-price method to solve special structured multi-stage stochastic integer programming problems. We validate our method on two different versions of a multi-stage stochastic batch-sizing problem. 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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