|edoc-Server der Humboldt-Universität zu Berlin|
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|
Stochastic Programming E-Print Series |
|Editors:||Julie L. Higle; Werner Römisch; Surrajeet Sen|
|Keywords (eng):||Stochastic programming, integer programming, batch-sizing, branch-and-price algorithm|
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.])
|Metadata export: To export the complete metadata set as Endote or Bibtex format please click to the appropriate link.||Endnote Bibtex|
|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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