Article ID: | iaor1994272 |
Country: | United States |
Volume: | 41 |
Issue: | 1 |
Start Page Number: | 203 |
End Page Number: | 216 |
Publication Date: | Jan 1993 |
Journal: | Operations Research |
Authors: | Ho James K., Birge John R. |
Keywords: | production, stochastic processes, transportation: general |
This paper presents a method for finding optimal flows in a dynamic network with random inputs into the system and congestion limits on flow. This model has been used in deterministic settings to represent dynamic traffic assignment and job shop routing. This paper builds on the deterministic results to show that a globally optimal solution in the stochastic problem may be obtained by a sequence of linear optimizations. A decomposition algorithm for this procedure is presented that efficiently solves problems with large-scale deterministic equivalents of up to 66000 variables.