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

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  1. Bertazzi, Luca & Maggioni, Francesca, 2018. "A stochastic multi-stage fixed charge transportation problem: Worst-case analysis of the rolling horizon approach," European Journal of Operational Research, Elsevier, vol. 267(2), pages 555-569.
  2. Minjiao Zhang & Simge Küçükyavuz & Saumya Goel, 2014. "A Branch-and-Cut Method for Dynamic Decision Making Under Joint Chance Constraints," Management Science, INFORMS, vol. 60(5), pages 1317-1333, May.
  3. Onur Tavaslıoğlu & Oleg A. Prokopyev & Andrew J. Schaefer, 2019. "Solving Stochastic and Bilevel Mixed-Integer Programs via a Generalized Value Function," Operations Research, INFORMS, vol. 67(6), pages 1659-1677, November.
  4. Osman Y. Özaltın & Oleg A. Prokopyev & Andrew J. Schaefer, 2018. "Optimal Design of the Seasonal Influenza Vaccine with Manufacturing Autonomy," INFORMS Journal on Computing, INFORMS, vol. 30(2), pages 371-387, May.
  5. Tunc, Huseyin & Kilic, Onur A. & Tarim, S. Armagan & Eksioglu, Burak, 2013. "A simple approach for assessing the cost of system nervousness," International Journal of Production Economics, Elsevier, vol. 141(2), pages 619-625.
  6. Francesca Maggioni & Elisabetta Allevi & Marida Bertocchi, 2016. "Monotonic bounds in multistage mixed-integer stochastic programming," Computational Management Science, Springer, vol. 13(3), pages 423-457, July.
  7. Gilbert, François & Anjos, Miguel F. & Marcotte, Patrice & Savard, Gilles, 2015. "Optimal design of bilateral contracts for energy procurement," European Journal of Operational Research, Elsevier, vol. 246(2), pages 641-650.
  8. Beraldi, Patrizia & Ghiani, Gianpaolo & Guerriero, Emanuela & Grieco, Antonio, 2006. "Scenario-based planning for lot-sizing and scheduling with uncertain processing times," International Journal of Production Economics, Elsevier, vol. 101(1), pages 140-149, May.
  9. Yongpei Guan & Shabbir Ahmed & George L. Nemhauser, 2009. "Cutting Planes for Multistage Stochastic Integer Programs," Operations Research, INFORMS, vol. 57(2), pages 287-298, April.
  10. Torres-Rincón, Samuel & Sánchez-Silva, Mauricio & Bastidas-Arteaga, Emilio, 2021. "A multistage stochastic program for the design and management of flexible infrastructure networks," Reliability Engineering and System Safety, Elsevier, vol. 210(C).
  11. Yongpei Guan & Andrew J. Miller, 2008. "Polynomial-Time Algorithms for Stochastic Uncapacitated Lot-Sizing Problems," Operations Research, INFORMS, vol. 56(5), pages 1172-1183, October.
  12. Hossein Hashemi Doulabi & Shabbir Ahmed & George Nemhauser, 2022. "State-Variable Modeling for a Class of Two-Stage Stochastic Optimization Problems," INFORMS Journal on Computing, INFORMS, vol. 34(1), pages 354-369, January.
  13. A. Alonso-Ayuso & L. Escudero & C. Pizarro, 2009. "On SIP algorithms for minimizing the mean-risk function in the multi-period single-source problem under uncertainty," Annals of Operations Research, Springer, vol. 166(1), pages 223-242, February.
  14. Huang, Zhouchun & Zheng, Qipeng Phil, 2020. "A multistage stochastic programming approach for preventive maintenance scheduling of GENCOs with natural gas contract," European Journal of Operational Research, Elsevier, vol. 287(3), pages 1036-1051.
  15. Suvrajeet Sen & Lihua Yu & Talat Genc, 2006. "A Stochastic Programming Approach to Power Portfolio Optimization," Operations Research, INFORMS, vol. 54(1), pages 55-72, February.
  16. Eguía Ribero, María Isabel & Garín Martín, María Araceli & Unzueta Inchaurbe, Aitziber, 2018. "Generating cluster submodels from two-stage stochastic mixed integer optimization models," BILTOKI 31248, Universidad del País Vasco - Departamento de Economía Aplicada III (Econometría y Estadística).
  17. Fernando Veliz & Jean-Paul Watson & Andres Weintraub & Roger Wets & David Woodruff, 2015. "Stochastic optimization models in forest planning: a progressive hedging solution approach," Annals of Operations Research, Springer, vol. 232(1), pages 259-274, September.
  18. Rui Chen & James Luedtke, 2022. "On Generating Lagrangian Cuts for Two-Stage Stochastic Integer Programs," INFORMS Journal on Computing, INFORMS, vol. 34(4), pages 2332-2349, July.
  19. Aldasoro, Unai & Escudero, Laureano F. & Merino, María & Pérez, Gloria, 2017. "A parallel Branch-and-Fix Coordination based matheuristic algorithm for solving large sized multistage stochastic mixed 0–1 problems," European Journal of Operational Research, Elsevier, vol. 258(2), pages 590-606.
  20. Lulli, Guglielmo & Sen, Suvrajeet, 2006. "A heuristic procedure for stochastic integer programs with complete recourse," European Journal of Operational Research, Elsevier, vol. 171(3), pages 879-890, June.
  21. Osman Y. Özaltın & Oleg A. Prokopyev & Andrew J. Schaefer & Mark S. Roberts, 2011. "Optimizing the Societal Benefits of the Annual Influenza Vaccine: A Stochastic Programming Approach," Operations Research, INFORMS, vol. 59(5), pages 1131-1143, October.
  22. Semih Atakan & Suvrajeet Sen, 2018. "A Progressive Hedging based branch-and-bound algorithm for mixed-integer stochastic programs," Computational Management Science, Springer, vol. 15(3), pages 501-540, October.
  23. Zhiping Chen & Feng Zhang & Li Yang, 2011. "Postoptimality for mean-risk stochastic mixed-integer programs and its application," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 74(3), pages 445-465, December.
  24. Bakker, Hannah & Dunke, Fabian & Nickel, Stefan, 2020. "A structuring review on multi-stage optimization under uncertainty: Aligning concepts from theory and practice," Omega, Elsevier, vol. 96(C).
  25. Ali Koç & David P. Morton, 2015. "Prioritization via Stochastic Optimization," Management Science, INFORMS, vol. 61(3), pages 586-603, March.
  26. İ. Esra Büyüktahtakın, 2022. "Stage-t scenario dominance for risk-averse multi-stage stochastic mixed-integer programs," Annals of Operations Research, Springer, vol. 309(1), pages 1-35, February.
  27. Escudero Bueno, Laureano F. & Garín Martín, María Araceli & Merino Maestre, María & Pérez Sainz de Rozas, Gloria, 2005. "A two-stage stochastic integer programming approach," BILTOKI 1134-8984, Universidad del País Vasco - Departamento de Economía Aplicada III (Econometría y Estadística).
  28. ARAVENA, Ignacio & PAPAVASILIOU, Anthony, 2016. "An Asynchronous Distributed Algorithm for solving Stochastic Unit Commitment," LIDAM Discussion Papers CORE 2016038, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  29. Dinçer Konur & Joseph Geunes, 2019. "Integrated districting, fleet composition, and inventory planning for a multi-retailer distribution system," Annals of Operations Research, Springer, vol. 273(1), pages 527-559, February.
  30. Solak, Senay & Clarke, John-Paul B. & Johnson, Ellis L., 2009. "Airport terminal capacity planning," Transportation Research Part B: Methodological, Elsevier, vol. 43(6), pages 659-676, July.
  31. Eyyüb Y. Kıbış & İ. Esra Büyüktahtakın & Robert G. Haight & Najmaddin Akhundov & Kathleen Knight & Charles E. Flower, 2021. "A Multistage Stochastic Programming Approach to the Optimal Surveillance and Control of the Emerald Ash Borer in Cities," INFORMS Journal on Computing, INFORMS, vol. 33(2), pages 808-834, May.
  32. Mahdi Noorizadegan & Abbas Seifi, 2018. "An efficient computational method for large scale surgery scheduling problems with chance constraints," Computational Optimization and Applications, Springer, vol. 69(2), pages 535-561, March.
  33. Giovanni Pantuso & Trine K. Boomsma, 2020. "On the number of stages in multistage stochastic programs," Annals of Operations Research, Springer, vol. 292(2), pages 581-603, September.
  34. Yongpei Guan, 2011. "Stochastic lot-sizing with backlogging: computational complexity analysis," Journal of Global Optimization, Springer, vol. 49(4), pages 651-678, April.
  35. Chaya Losada & M. Scaparra & Richard Church & Mark Daskin, 2012. "The stochastic interdiction median problem with disruption intensity levels," Annals of Operations Research, Springer, vol. 201(1), pages 345-365, December.
  36. Jean-Paul Watson & Roger J-B Wets & David L. Woodruff, 2010. "Scalable Heuristics for a Class of Chance-Constrained Stochastic Programs," INFORMS Journal on Computing, INFORMS, vol. 22(4), pages 543-554, November.
  37. Giovanni Pantuso & Kjetil Fagerholt & Stein W. Wallace, 2015. "Solving Hierarchical Stochastic Programs: Application to the Maritime Fleet Renewal Problem," INFORMS Journal on Computing, INFORMS, vol. 27(1), pages 89-102, February.
  38. Santiago Cerisola & Álvaro Baíllo & José M. Fernández-López & Andrés Ramos & Ralf Gollmer, 2009. "Stochastic Power Generation Unit Commitment in Electricity Markets: A Novel Formulation and a Comparison of Solution Methods," Operations Research, INFORMS, vol. 57(1), pages 32-46, February.
  39. Kavinesh J. Singh & Andy B. Philpott & R. Kevin Wood, 2009. "Dantzig-Wolfe Decomposition for Solving Multistage Stochastic Capacity-Planning Problems," Operations Research, INFORMS, vol. 57(5), pages 1271-1286, October.
  40. Kazemi Zanjani, Masoumeh & Sanei Bajgiran, Omid & Nourelfath, Mustapha, 2016. "A hybrid scenario cluster decomposition algorithm for supply chain tactical planning under uncertainty," European Journal of Operational Research, Elsevier, vol. 252(2), pages 466-476.
  41. Zheng Zhang & Brian T. Denton & Xiaolan Xie, 2020. "Branch and Price for Chance-Constrained Bin Packing," INFORMS Journal on Computing, INFORMS, vol. 32(3), pages 547-564, July.
  42. Kai Pan & Yongpei Guan, 2016. "Strong Formulations for Multistage Stochastic Self-Scheduling Unit Commitment," Operations Research, INFORMS, vol. 64(6), pages 1482-1498, December.
  43. Schulze, Tim & Grothey, Andreas & McKinnon, Ken, 2017. "A stabilised scenario decomposition algorithm applied to stochastic unit commitment problems," European Journal of Operational Research, Elsevier, vol. 261(1), pages 247-259.
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