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

Author

Listed:
  • 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)

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.

Suggested Citation

  • Guglielmo Lulli & Suvrajeet Sen, 2004. "A Branch-and-Price Algorithm for Multistage Stochastic Integer Programming with Application to Stochastic Batch-Sizing Problems," Management Science, INFORMS, vol. 50(6), pages 786-796, June.
    • Handle: RePEc:inm:ormnsc:v:50:y:2004:i:6:p:786-796
    DOI: 10.1287/mnsc.1030.0164
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    References listed on IDEAS

    as
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