A Branch-and-Price Algorithm for Multistage Stochastic Integer Programming with Application to Stochastic Batch-Sizing Problems
提出一种分支定价算法，用于求解特殊结构的多阶段随机整数规划问题，并在两种随机批量问题上验证了有效性，适合运筹学与生产管理研究者参考。
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.