search query: @author Mulvey, J. M. / total: 8
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Author: | Lustig, I. J. Mulvey, J. M. Carpenter, T. J. |
Title: | Formulating two-stage stochastic programs for interior point methods. |
Journal: | Operations Research
1991 : SEP-OCT, VOL. 39:5, p. 757-770 |
Index terms: | LINEAR PROGRAMMING |
Language: | eng |
Abstract: | A method for modelling two-stage stochastic programs that yields a form suitable for interior point algorithms is described. A staircase constraint structure is created by replacing first stage variables with sparse "split variables" in conjunction with side-constraints. Dense columns are thereby eliminated. The resulting model is larger than traditional stochastic programs, but computational savings are substantial - over a tenfold improvement for the problems tested. A series of experiments with stochastic networks drawn from financial planning demonstrates the attained efficiencies. |
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