Planning under uncertainty using parallel computing
Annals of Operations Research - Special Issue: Parallel Optimization on Novel Computer Architectures
Parallel processors for planning under uncertainty
Annals of Operations Research
Formulating two-stage stochastic programs for interior point methods
Operations Research
Computational Optimization and Applications
SIAM Journal on Optimization
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In this paper we present a specialized matrix factorizationprocedure for computing the dual step in a primal-dual path-followinginterior point algorithm for solving two-stage stochastic linear programswith restricted recourse. The algorithm, based on the Birge-Qifactorization technique, takes advantage of boththe dual block-angular structure of the constraint matrix and of thespecial structure of the second-stage matrices involvedin the model. Extensive computational experiments on a set oftest problems have been conducted in order to evaluate theperformance of the developed code. The results are very promising,showing that the code is competitive with state-of-the-artoptimizers.