A branch-and-price algorithm for multistage stochastic integer programming with application to stochastic batch-sizing problems

A branch-and-price algorithm for multistage stochastic integer programming with application to stochastic batch-sizing problems

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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: ,
Keywords: programming: branch and bound
Abstract:

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.

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