scenario tree

A multi-stage stochastic integer programming approach for a multi-echelon lot-sizing problem with returns and lost sales

  • Quan Dong
  • Safia Kedad-Sidhoum
  • Céline Gicquel
  • Franco Quezada
    • Categories Applications - OR and Management Sciences, Branch and Cut Algorithms, Production and Logistics Tags , , , , , ,

    We consider an uncapacitated multi-item multi-echelon lot-sizing problem within a remanufacturing system involving three production echelons: disassembly, refurbishing and reassembly. We seek to plan the production activities on this system over a multi-period horizon. We consider a stochastic environment, in which the input data of the optimization problem are subject to uncertainty. We propose a … Read more

    Optimal scenario set partitioning for multistage stochastic programming with the progressive hedging algorithm

  • Fabian Bastin
  • Pierre-Luc Carpentier
  • Michel Gendreau
    • Categories Stochastic Programming Tags , , ,

    In this paper, we propose a new approach to reduce the total running time (RT) of the progressive hedging algorithm (PHA) for solving multistage stochastic programs (MSPs) defined on a scenario tree. Instead of using the conventional scenario decomposition scheme, we apply a multi-scenario decomposition scheme and partition the scenario set in order to minimize … Read more