Please use this identifier to cite or link to this item:
https://doi.org/10.1023/B:JOGO.0000015311.63755.01
DC Field | Value | |
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dc.title | A new decomposition technique in solving multistage stochastic linear programs by infeasible interior point methods | |
dc.contributor.author | Liu, X. | |
dc.contributor.author | Sun, J. | |
dc.date.accessioned | 2013-10-09T06:19:16Z | |
dc.date.available | 2013-10-09T06:19:16Z | |
dc.date.issued | 2004 | |
dc.identifier.citation | Liu, X., Sun, J. (2004). A new decomposition technique in solving multistage stochastic linear programs by infeasible interior point methods. Journal of Global Optimization 28 (2) : 197-215. ScholarBank@NUS Repository. https://doi.org/10.1023/B:JOGO.0000015311.63755.01 | |
dc.identifier.issn | 09255001 | |
dc.identifier.uri | http://scholarbank.nus.edu.sg/handle/10635/44230 | |
dc.description.abstract | Multistage stochastic linear programming (MSLP) is a powerful tool for making decisions under uncertainty. A deterministic equivalent problem of MSLP is a large-scale linear program with nonanticipativity constraints. Recently developed infeasible interior point methods are used to solve the resulting linear program. Technical problems arising from this approach include rank reduction and computation of search directions. The sparsity of the nonanticipativity constraints and the special structure of the problem are exploited by the interior point method. Preliminary numerical results are reported. The study shows that, by combining the infeasible interior point methods and specific decomposition techniques, it is possible to greatly improve the computability of multistage stochastic linear programs. | |
dc.description.uri | http://libproxy1.nus.edu.sg/login?url=http://dx.doi.org/10.1023/B:JOGO.0000015311.63755.01 | |
dc.source | Scopus | |
dc.subject | Decomposition | |
dc.subject | Infeasible primal-dual interior point method | |
dc.subject | Scenario analysis | |
dc.subject | Stochastic linear programs | |
dc.type | Article | |
dc.contributor.department | SINGAPORE-MIT ALLIANCE | |
dc.contributor.department | DECISION SCIENCES | |
dc.description.doi | 10.1023/B:JOGO.0000015311.63755.01 | |
dc.description.sourcetitle | Journal of Global Optimization | |
dc.description.volume | 28 | |
dc.description.issue | 2 | |
dc.description.page | 197-215 | |
dc.description.coden | JGOPE | |
dc.identifier.isiut | 000188853400005 | |
Appears in Collections: | Staff Publications |
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