Efficient solution of two-stage stochastic linear programs using interior point methods

Computational Optimization and Applications ◽

10.1007/bf00249637 ◽

1992 ◽

Vol 1 (3) ◽

pp. 245-276 ◽

Author(s):

J. R. Birge ◽

D. F. Holmes

Keyword(s):

Interior Point ◽

Efficient Solution ◽

Interior Point Methods ◽

Linear Programs ◽

Two Stage ◽

Stochastic Linear Programs

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A Study of the Augmented System and Column-Splitting Approaches for Solving Two-Stage Stochastic Linear Programs by Interior-Point Methods

INFORMS Journal on Computing ◽

10.1287/ijoc.7.4.474 ◽

1995 ◽

Vol 7 (4) ◽

pp. 474-490 ◽

Author(s):

Joseph Czyzyk ◽

Robert Fourer ◽

Sanjay Mehrotra

Keyword(s):

Interior Point ◽

Interior Point Methods ◽

Linear Programs ◽

Two Stage ◽

Augmented System ◽

Stochastic Linear Programs

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On interior-point based retrospective approximation methods for solving two-stage stochastic linear programs

Proceedings of the 2011 Winter Simulation Conference (WSC) ◽

10.1109/wsc.2011.6148104 ◽

2011 ◽

Author(s):

Soumyadip Ghosh ◽

Raghu Pasupathy

Keyword(s):

Interior Point ◽

Approximation Methods ◽

Linear Programs ◽

Two Stage ◽

Stochastic Linear Programs

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A New Decomposition Technique in Solving Multistage Stochastic Linear Programs by Infeasible Interior Point Methods

Journal of Global Optimization ◽

10.1023/b:jogo.0000015311.63755.01 ◽

2004 ◽

Vol 28 (2) ◽

pp. 197-215 ◽

Author(s):

Xinwei Liu ◽

Jie Sun

Keyword(s):

Interior Point ◽

Interior Point Methods ◽

Linear Programs ◽

Decomposition Technique ◽

Stochastic Linear Programs ◽

Multistage Stochastic Linear Programs

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Adaptive Sequential Sample Average Approximation for Solving Two-Stage Stochastic Linear Programs

SIAM Journal on Optimization ◽

10.1137/19m1244469 ◽

2021 ◽

Vol 31 (1) ◽

pp. 1017-1048

Author(s):

Raghu Pasupathy ◽

Yongjia Song

Keyword(s):

Sample Average Approximation ◽

Linear Programs ◽

Two Stage ◽

Sequential Sample ◽

Sample Average ◽

Stochastic Linear Programs ◽

Average Approximation

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Robust two-stage stochastic linear programs with moment constraints

Optimization ◽

10.1080/02331934.2014.906598 ◽

2014 ◽

Vol 63 (6) ◽

pp. 829-837 ◽

Author(s):

Sarah Y. Gao ◽

Lingchen Kong ◽

Jie Sun

Keyword(s):

Linear Programs ◽

Two Stage ◽

Stochastic Linear Programs

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Interior Point Methods Adapted to Improper Linear Programs

Proceedings of the Steklov Institute of Mathematics ◽

10.1134/s0081543820040148 ◽

2020 ◽

Vol 309 (S1) ◽

pp. S116-S124

Author(s):

L. D. Popov

Keyword(s):

Interior Point ◽

Interior Point Methods ◽

Linear Programs

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Self-concordance and Decomposition-based Interior Point Methods for the Two-stage Stochastic Convex Optimization Problem

SIAM Journal on Optimization ◽

10.1137/080742026 ◽

2011 ◽

Vol 21 (4) ◽

pp. 1667-1687 ◽

Author(s):

Michael Chen ◽

Sanjay Mehrotra

Keyword(s):

Convex Optimization ◽

Interior Point ◽

Optimization Problem ◽

Interior Point Methods ◽

Two Stage ◽

Convex Optimization Problem

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A regularized stochastic decomposition algorithm for two-stage stochastic linear programs

Computational Optimization and Applications ◽

10.1007/bf01299391 ◽

1994 ◽

Vol 3 (1) ◽

pp. 59-81 ◽

Author(s):

Diana S. Yakowitz

Keyword(s):

Decomposition Algorithm ◽

Stochastic Decomposition ◽

Linear Programs ◽

Two Stage ◽

Stochastic Linear Programs

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Scenario Formulation of Stochastic Linear Programs and the Homogeneous Self-Dual Interior-Point Method

INFORMS Journal on Computing ◽

10.1287/ijoc.1040.0112 ◽

2006 ◽

Vol 18 (4) ◽

pp. 444-454 ◽

Author(s):

Jie Sun ◽

Xinwei Liu

Keyword(s):

Interior Point ◽

Interior Point Method ◽

Point Method ◽

Linear Programs ◽

Stochastic Linear Programs ◽

Scenario Formulation

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Implementation of Interior-Point Methods for Large Scale Linear Programs

Applied Optimization - Interior Point Methods of Mathematical Programming ◽

10.1007/978-1-4613-3449-1_6 ◽

1996 ◽

pp. 189-252 ◽

Author(s):

Erling D. Anderson ◽

Jacek Gondzio ◽

Csaba Mészáros ◽

Xiaojie Xu

Keyword(s):

Interior Point ◽

Large Scale ◽

Interior Point Methods ◽

Linear Programs

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