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 language | English |
|---|---|
| Pages (from-to) | 215-234 |
| Number of pages | 20 |
| Journal | Computational Optimization and Applications |
| Volume | 15 |
| Issue number | 3 |
| DOIs | |
| Publication status | Published - 2000 |
Fingerprint
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 journal › Article
}
TY - JOUR
T1 - Solving stochastic linear programs with restricted recourse using interior point methods
AU - Beraldi, Patrizia
AU - Musmanno, Roberto
AU - Triki, Chefi
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.
UR - http://www.scopus.com/inward/record.url?scp=0033880360&partnerID=8YFLogxK
UR - http://www.scopus.com/inward/citedby.url?scp=0033880360&partnerID=8YFLogxK
U2 - 10.1023/A:1008772217145
DO - 10.1023/A:1008772217145
M3 - Article
AN - SCOPUS:0033880360
VL - 15
SP - 215
EP - 234
JO - Computational Optimization and Applications
JF - Computational Optimization and Applications
SN - 0926-6003
IS - 3
ER -