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|Title:||Scenario formulation of stochastic linear programs and the homogeneous self-dual interior-point method|
|Authors:||Sun, J. |
Multistage stochastic linear programs
|Citation:||Sun, J., Liu, X. (2006). Scenario formulation of stochastic linear programs and the homogeneous self-dual interior-point method. INFORMS Journal on Computing 18 (4) : 444-454. ScholarBank@NUS Repository. https://doi.org/10.1287/ijoc.1040.0112|
|Abstract:||We consider a homogeneous self-dual interior-point algorithm for solving multistage stochastic linear programs. The algorithm is particularly suitable for the so-called "scenario formulation" of the problem, whose constraint system consists of a large block-diagonal matrix together with a set of sparse nonanticipativity constraints. Due to this structure, the major computational work required by the homogeneous self-dual interior-point method can be split into three steps, each of which is highly decomposable. Numerical results on some randomly generated problems and a multistage production-planning problem are reported. © 2006 INFORMS.|
|Source Title:||INFORMS Journal on Computing|
|Appears in Collections:||Staff Publications|
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