Solving stochastic linear programs with restricted recourse using interior point methods

Patrizia Beraldi, Roberto Musmanno, Chefi Triki

Research output: Contribution to journalArticle

12 Citations (Scopus)

Abstract

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.

Original languageEnglish
Pages (from-to)215-234
Number of pages20
JournalComputational Optimization and Applications
Volume15
Issue number3
DOIs
Publication statusPublished - 2000

Fingerprint

Interior Point Method
Linear Program
Path-following Algorithm
Factorization
Interior-point Algorithm
Matrix Factorization
Primal-dual
Computational Experiments
Test Problems
Computing
Evaluate
Interior point method
Linear program
Experiments
Model
Matrix factorization
Experiment

ASJC Scopus subject areas

  • Management Science and Operations Research
  • Applied Mathematics
  • Computational Mathematics
  • Control and Optimization

Cite this

Solving stochastic linear programs with restricted recourse using interior point methods. / Beraldi, Patrizia; Musmanno, Roberto; Triki, Chefi.

In: Computational Optimization and Applications, Vol. 15, No. 3, 2000, p. 215-234.

Research output: Contribution to journalArticle

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