TY - JOUR
T1 - Solving stochastic linear programs with restricted recourse using interior point methods
AU - Beraldi, Patrizia
AU - Musmanno, Roberto
AU - Triki, Chefi
N1 - Funding Information:
⁄Research partially supported through contract “HPC-Finance” (no. 951139) of the INCO ’95 project funded by the Directorate General III (industry) of the European Commission. Partial support also provided by the “HPC-Finance” partner institutions: Universities of Bergamo (IT), Calabria (IT), Cambridge (UK), Charles (CZ), Cyprus (CY), Erasmus (ND), Technion (IL) and the “Centro per il Calcolo Parallelo e i Supercalcolatori” (IT).
PY - 2000
Y1 - 2000
N2 - 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.
AB - 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.
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U2 - 10.1023/A:1008772217145
DO - 10.1023/A:1008772217145
M3 - Article
AN - SCOPUS:0033880360
SN - 0926-6003
VL - 15
SP - 215
EP - 234
JO - Computational Optimization and Applications
JF - Computational Optimization and Applications
IS - 3
ER -