TY - JOUR
T1 - Parallel algorithms to solve two-stage stochastic linear programs with robustness constraints
AU - Beraldi, P.
AU - Grandinetti, L.
AU - Musmanno, R.
AU - Triki, C.
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 Commision.
PY - 2000/12
Y1 - 2000/12
N2 - In this paper we present a parallel method for solving two-stage stochastic linear programs with restricted recourse. The mathematical model considered here can be used to represent several real-world applications, including financial and production planning problems, for which significant changes in the recourse solutions should be avoided because of their difficulty to be implemented. Our parallel method is based on a primal-dual path-following interior point algorithm, and exploits fruitfully the dual block-angular structure of the constraint matrix and the special block structure of the matrices involved in the restricted recourse model. We describe and discuss both message-passing and shared-memory implementations and we present the numerical results collected on the Origin2000.
AB - In this paper we present a parallel method for solving two-stage stochastic linear programs with restricted recourse. The mathematical model considered here can be used to represent several real-world applications, including financial and production planning problems, for which significant changes in the recourse solutions should be avoided because of their difficulty to be implemented. Our parallel method is based on a primal-dual path-following interior point algorithm, and exploits fruitfully the dual block-angular structure of the constraint matrix and the special block structure of the matrices involved in the restricted recourse model. We describe and discuss both message-passing and shared-memory implementations and we present the numerical results collected on the Origin2000.
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U2 - 10.1016/S0167-8191(00)00057-0
DO - 10.1016/S0167-8191(00)00057-0
M3 - Article
AN - SCOPUS:0034501719
SN - 0167-8191
VL - 26
SP - 1889
EP - 1908
JO - Parallel Computing
JF - Parallel Computing
IS - 13-14
ER -