Solving a Class of Stochastic Mixed Integer Programs with Branch and Price
Silva, Eduardo F.
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Stochastic mixed-integer program – Column generation – Branch and priceWe begin this paper by identifying a class of stochastic mixed-integer programs that have column-oriented formulations suitable for solution by a branch-and-price algorithm (B&P). We then survey a number of examples, and use a stochastic facility-location problem (SFLP) for a detailed demonstration of the relevant modeling and solution techniques. Computational results with a scenario representation of uncertain costs, demands, and capacities show that B&P can be orders of magnitude faster than solving the standard formulation by branch and bound. We also demonstrate how B&P can solving SFLP exactly - as exactly as a deterministic mixed-integer program - when demands and other parameters can be represented as certain types of independent, random variables, e.g. independent, normal random variables with integer means and variances.
Mathematical Programming (Series B), 108, pp. 395-418.
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