Exact solutions to a class of stochastic generalized assignment problems

Exact solutions to a class of stochastic generalized assignment problems

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Article ID: iaor20084120
Country: Netherlands
Volume: 173
Issue: 2
Start Page Number: 465
End Page Number: 487
Publication Date: Sep 2006
Journal: European Journal of Operational Research
Authors: , ,
Keywords: programming: probabilistic, programming: integer
Abstract:

This paper deals with a stochastic Generalized Assignment Problem with recourse. Only a random subset of the given set of jobs will require to be actually processed. An assignment of each job to an agent is decided a priori, and once the subset of jobs which have to be executed is known, reassignments can be performed if there are overloaded agents. We construct a convex approximation of the objective function that is sharp at all feasible solutions. We then present three versions of an exact algorithm to solve this problem, based on branch and bound techniques, optimality cuts, and a special purpose lower bound. Numerical results are reported.

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