期刊
MANAGEMENT SCIENCE
卷 50, 期 6, 页码 786-796出版社
INFORMS
DOI: 10.1287/mnsc.1030.0164
关键词
stochastic programming; integer programming; batch sizing; branch-and-price algorithm
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 batchsizing 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.
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