Please use this identifier to cite or link to this item: http://scholarbank.nus.edu.sg/handle/10635/102672
Title: A log-barrier method with Benders decomposition for solving two-stage stochastic linear programs
Authors: Zhao, G. 
Keywords: Barrier function
Benders decomposition
Complexity
Interior point methods
Large-scale linear programming
Stochastic programming
Issue Date: May-2001
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
URI: http://scholarbank.nus.edu.sg/handle/10635/102672
ISSN: 00255610
Appears in Collections:Staff Publications

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