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|Title:||A log-barrier method with Benders decomposition for solving two-stage stochastic linear programs|
Interior point methods
Large-scale linear programming
|Citation:||Zhao, G. (2001-05). A log-barrier method with Benders decomposition for solving two-stage stochastic linear programs. Mathematical Programming, Series B 90 (3) : 507-536. ScholarBank@NUS Repository.|
|Abstract:||An algorithm incorporating the logarithmic barrier into the Benders decomposition technique is proposed for solving two-stage stochastic programs. Basic properties concerning the existence and uniqueness of the solution and the underlying path are studied. When applied to problems with a finite number of scenarios, the algorithm is shown to converge globally and to run in polynomial-time.|
|Source Title:||Mathematical Programming, Series B|
|Appears in Collections:||Staff Publications|
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