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Exact solutions to a class of stochastic generalized assignment problems

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  • Albareda-Sambola, Maria
  • Vlerk, Maarten H. van der
  • Fernandez, Elena

    (Groningen University)

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 demands are 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.

Suggested Citation

  • Albareda-Sambola, Maria & Vlerk, Maarten H. van der & Fernandez, Elena, 2002. "Exact solutions to a class of stochastic generalized assignment problems," Research Report 02A11, University of Groningen, Research Institute SOM (Systems, Organisations and Management).
    • Handle: RePEc:gro:rugsom:02a11
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    File URL: http://irs.ub.rug.nl/ppn/238234312
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    References listed on IDEAS

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    1. KLEIN HANEVELD, W. K. & STOUGIE, L. & van der VLERK, M. H., 1996. "An algorithm for the construction of convex hulls in simple integer recourse programming," LIDAM Reprints CORE 1215, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    2. Martin Savelsbergh, 1997. "A Branch-and-Price Algorithm for the Generalized Assignment Problem," Operations Research, INFORMS, vol. 45(6), pages 831-841, December.
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    4. Willem Klein Haneveld & Maarten van der Vlerk, 1999. "Stochastic integer programming:General models and algorithms," Annals of Operations Research, Springer, vol. 85(0), pages 39-57, January.
    5. Gilbert Laporte & François V. Louveaux & Hélène Mercure, 1994. "A Priori Optimization of the Probabilistic Traveling Salesman Problem," Operations Research, INFORMS, vol. 42(3), pages 543-549, June.
    6. Rüdiger Schultz, 1993. "Continuity Properties of Expectation Functions in Stochastic Integer Programming," Mathematics of Operations Research, INFORMS, vol. 18(3), pages 578-589, August.
    7. Cattrysse, Dirk G. & Van Wassenhove, Luk N., 1992. "A survey of algorithms for the generalized assignment problem," European Journal of Operational Research, Elsevier, vol. 60(3), pages 260-272, August.
    8. Oded Berman & David Simchi-Levi, 1988. "Finding the Optimal a Priori Tour and Location of a Traveling Salesman with Nonhomogeneous Customers," Transportation Science, INFORMS, vol. 22(2), pages 148-154, May.
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    Cited by:

    1. M Riis & A J V Skriver & S F Møller, 2005. "Internet protocol network design with uncertain demand," Journal of the Operational Research Society, Palgrave Macmillan;The OR Society, vol. 56(10), pages 1184-1195, October.
    2. Subhash C. Sarin & Hanif D. Sherali & Seon Ki Kim, 2014. "A branch‐and‐price approach for the stochastic generalized assignment problem," Naval Research Logistics (NRL), John Wiley & Sons, vol. 61(2), pages 131-143, March.

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