Solving stochastic linear programs with restricted recourse using interior point methods

Patrizia Beraldi, Roberto Musmanno, Chefi Triki

نتاج البحث: المساهمة في مجلةمراجعة النظراء

17 اقتباسات (Scopus)

ملخص

In this paper we present a specialized matrix factorization procedure for computing the dual step in a primal-dual path-following interior point algorithm for solving two-stage stochastic linear programs with restricted recourse. The algorithm, based on the Birge-Qi factorization technique, takes advantage of both the dual block-angular structure of the constraint matrix and of the special structure of the second-stage matrices involved in the model. Extensive computational experiments on a set of test problems have been conducted in order to evaluate the performance of the developed code. The results are very promising, showing that the code is competitive with state-of-the-art optimizers.

اللغة الأصليةEnglish
الصفحات (من إلى)215-234
عدد الصفحات20
دوريةComputational Optimization and Applications
مستوى الصوت15
رقم الإصدار3
المعرِّفات الرقمية للأشياء
حالة النشرPublished - 2000

ASJC Scopus subject areas

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