Fix and Relax Heuristic for a Stochastic Lot-Sizing Problem
Computational Optimization and Applications
On a stochastic sequencing and scheduling problem
Computers and Operations Research
A Stochastic Programming Approach to Power Portfolio Optimization
Operations Research
Cutting Planes for Multistage Stochastic Integer Programs
Operations Research
A polynomial time algorithm for the stochastic uncapacitated lot-sizing problem with backlogging
IPCO'08 Proceedings of the 13th international conference on Integer programming and combinatorial optimization
Scalable Heuristics for a Class of Chance-Constrained Stochastic Programs
INFORMS Journal on Computing
Stochastic lot-sizing with backlogging: computational complexity analysis
Journal of Global Optimization
On stochastic lot-sizing problems with random lead times
Operations Research Letters
Fix-and-Relax-Coordination for a multi-period location-allocation problem under uncertainty
Computers and Operations Research
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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.