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A branch-and-price algorithm for multistage stochastic integer programming with application to stochastic batch-sizing problems

Research output: Contribution to journalJournal articlepeer-review

<mark>Journal publication date</mark>1/06/2004
<mark>Journal</mark>Management Science
Issue number6
Number of pages11
Pages (from-to)786-796
Publication StatusPublished
<mark>Original language</mark>English


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.