Solving stochastic linear programs with restricted recourse using interior point methods

Patrizia Beraldi, Roberto Musmanno, Chefi Triki

Research output: Contribution to journalArticle

13 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

ASJC Scopus subject areas

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

Fingerprint Dive into the research topics of 'Solving stochastic linear programs with restricted recourse using interior point methods'. Together they form a unique fingerprint.

  • Cite this