Article ID: | iaor20073859 |
Country: | United States |
Volume: | 50 |
Issue: | 6 |
Start Page Number: | 786 |
End Page Number: | 796 |
Publication Date: | Jun 2004 |
Journal: | Management Science |
Authors: | Sen Suvrajeet, Lulli Guglielmo |
Keywords: | programming: branch and bound |
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.