Please use this identifier to cite or link to this item: https://doi.org/10.1287/ijoc.1040.0112
Title: Scenario formulation of stochastic linear programs and the homogeneous self-dual interior-point method
Authors: Sun, J. 
Liu, X.
Keywords: Decomposition
Interior-point methods
Multistage stochastic linear programs
Issue Date: 2006
Source: 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
URI: http://scholarbank.nus.edu.sg/handle/10635/44074
ISSN: 10919856
DOI: 10.1287/ijoc.1040.0112
Appears in Collections:Staff Publications

Show full item record
Files in This Item:
There are no files associated with this item.

SCOPUSTM   
Citations

5
checked on Dec 6, 2017

WEB OF SCIENCETM
Citations

4
checked on Nov 21, 2017

Page view(s)

53
checked on Dec 10, 2017

Google ScholarTM

Check

Altmetric


Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.