Decomposition Algorithms for Stochastic Programming on a Computational Grid

Authors:
Jeff Linderoth;Stephen Wright
Affiliations:
Industrial and Systems Engineering Department, Lehigh University, 200 West Packer Avenue, Bethlehem, PA 18015, USA. jt13@lehigh.edu;Computer Sciences Department, University of Wisconsin, 1210 W. Dayton Street, Madison, WI 53706, USA. swright@cs.wisc.edu
Venue:
Computational Optimization and Applications
Year:
2003

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Abstract

We describe algorithms for two-stage stochastic linear programming with recourse and their implementation on a grid computing platform. In particular, we examine serial and asynchronous versions of the L-shaped method and a trust-region method. The parallel platform of choice is the dynamic, heterogeneous, opportunistic platform provided by the Condor system. The algorithms are of master-worker type (with the workers being used to solve second-stage problems), and the MW runtime support library (which supports master-worker computations) is key to the implementation. Computational results are presented on large sample-average approximations of problems from the literature.