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 |
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Pages (from-to) | 215-234 |
Number of pages | 20 |
Journal | Computational Optimization and Applications |
Volume | 15 |
Issue number | 3 |
DOIs | |
Publication status | Published - 2000 |
ASJC Scopus subject areas
- Management Science and Operations Research
- Applied Mathematics
- Computational Mathematics
- Control and Optimization