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2002-10-24Buch DOI: 10.18452/8281
A branch-and-price algorithm for multi-stage stochastic integer programming with application to stochastic batch-sizing problems
dc.contributor.authorLulli, Guglielmo
dc.contributor.authorSen, Suvrajeet
dc.contributor.editorHigle, Julie L.
dc.contributor.editorRömisch, Werner
dc.contributor.editorSen, Surrajeet
dc.date.accessioned2017-06-16T19:49:27Z
dc.date.available2017-06-16T19:49:27Z
dc.date.created2006-02-22
dc.date.issued2002-10-24
dc.date.submitted2002-04-23
dc.identifier.urihttp://edoc.hu-berlin.de/18452/8933
dc.description.abstractIn 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.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Mathematisch-Naturwissenschaftliche Fakultät II, Institut für Mathematik
dc.subjectStochastic programmingeng
dc.subjectinteger programmingeng
dc.subjectbatch-sizingeng
dc.subjectbranch-and-price algorithmeng
dc.subject.ddc510 Mathematik
dc.titleA branch-and-price algorithm for multi-stage stochastic integer programming with application to stochastic batch-sizing problems
dc.typebook
dc.identifier.urnurn:nbn:de:kobv:11-110-18452/8933-4
dc.identifier.doihttp://dx.doi.org/10.18452/8281
local.edoc.container-titleStochastic Programming E-Print Series
local.edoc.type-nameBuch
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-publisher-nameManagement science [Elektronische Ressource] : journal of the Institute for Operations Research and the Management Sciences
local.edoc.container-publisher-placeLinthicum, Md. [u.a.]
local.edoc.container-volume2002
local.edoc.container-issue17
local.edoc.container-year2004
local.edoc.container-erstkatid2936317-2

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