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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 Journal/Magazine › Journal article › peer-review

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A branch-and-price algorithm for multistage stochastic integer programming with application to stochastic batch-sizing problems. / Lulli, Guglielmo; Sen, Suvrajeet.
In: Management Science, Vol. 50, No. 6, 01.06.2004, p. 786-796.

Research output: Contribution to Journal/Magazine › Journal article › peer-review

Harvard

Lulli, G & Sen, S 2004, 'A branch-and-price algorithm for multistage stochastic integer programming with application to stochastic batch-sizing problems', Management Science, vol. 50, no. 6, pp. 786-796. https://doi.org/10.1287/mnsc.1030.0164

APA

Lulli, G., & Sen, S. (2004). A branch-and-price algorithm for multistage stochastic integer programming with application to stochastic batch-sizing problems. Management Science, 50(6), 786-796. https://doi.org/10.1287/mnsc.1030.0164

Vancouver

Lulli G, Sen S. A branch-and-price algorithm for multistage stochastic integer programming with application to stochastic batch-sizing problems. Management Science. 2004 Jun 1;50(6):786-796. doi: 10.1287/mnsc.1030.0164

Author

Lulli, Guglielmo ; Sen, Suvrajeet. / A branch-and-price algorithm for multistage stochastic integer programming with application to stochastic batch-sizing problems. In: Management Science. 2004 ; Vol. 50, No. 6. pp. 786-796.

Bibtex

@article{00ae570173de4ece868162b5ffd477be,
title = "A branch-and-price algorithm for multistage stochastic integer programming with application to stochastic batch-sizing problems",
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 = "Batch sizing, Branch-and-price algorithm, Integer programming, Stochastic programming",
author = "Guglielmo Lulli and Suvrajeet Sen",
year = "2004",
month = jun,
day = "1",
doi = "10.1287/mnsc.1030.0164",
language = "English",
volume = "50",
pages = "786--796",
journal = "Management Science",
issn = "0025-1909",
publisher = "INFORMS Inst.for Operations Res.and the Management Sciences",
number = "6",

}

RIS

TY - JOUR

T1 - A branch-and-price algorithm for multistage stochastic integer programming with application to stochastic batch-sizing problems

AU - Lulli, Guglielmo

AU - Sen, Suvrajeet

PY - 2004/6/1

Y1 - 2004/6/1

N2 - 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.

AB - 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.

KW - Batch sizing

KW - Branch-and-price algorithm

KW - Integer programming

KW - Stochastic programming

U2 - 10.1287/mnsc.1030.0164

DO - 10.1287/mnsc.1030.0164

M3 - Journal article

AN - SCOPUS:3142535226

VL - 50

SP - 786

EP - 796

JO - Management Science

JF - Management Science

SN - 0025-1909

IS - 6

ER -