A Branch-and-Price Algorithm for Multistage Stochastic Integer Programming with Application to Stochastic Batch-Sizing Problems

Guglielmo Lulli () and Suvrajeet Sen ()
Additional contact information
Guglielmo Lulli: Department of Systems and Industrial Engineering, University of Arizona, Tucson, Arizona 85721-0020
Suvrajeet Sen: Department of Systems and Industrial Engineering, University of Arizona, Tucson, Arizona 85721-0020

Management Science, 2004, vol. 50, issue 6, 786-796

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.

Keywords: stochastic programming; integer programming; batch sizing; branch-and-price algorithm (search for similar items in EconPapers)
Date: 2004
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (48)

Downloads: (external link)
http://dx.doi.org/10.1287/mnsc.1030.0164 (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:inm:ormnsc:v:50:y:2004:i:6:p:786-796

Access Statistics for this article

More articles in Management Science from INFORMS Contact information at EDIRC.
Bibliographic data for series maintained by Chris Asher ().