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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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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Cut sharing for multistage stochastic linear programs with interstage dependency

Mathematical Programming ◽

10.1007/bf02592154 ◽

1996 ◽

Vol 75 (2) ◽

pp. 241-256 ◽

Author(s):

Gerd Infanger ◽

David P. Morton

Keyword(s):

Linear Programs ◽

Stochastic Linear Programs ◽

Multistage Stochastic Linear Programs

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SDDP for multistage stochastic linear programs based on spectral risk measures

Operations Research Letters ◽

10.1016/j.orl.2012.04.006 ◽

2012 ◽

Vol 40 (5) ◽

pp. 313-318 ◽

Author(s):

Vincent Guigues ◽

Werner Römisch

Keyword(s):

Risk Measures ◽

Linear Programs ◽

Spectral Risk Measures ◽

Stochastic Linear Programs ◽

Multistage Stochastic Linear Programs

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Risk-averse feasible policies for large-scale multistage stochastic linear programs

Mathematical Programming ◽

10.1007/s10107-012-0592-1 ◽

2012 ◽

Vol 138 (1-2) ◽

pp. 167-198 ◽

Author(s):

Vincent Guigues ◽

Claudia Sagastizábal

Keyword(s):

Large Scale ◽

Linear Programs ◽

Risk Averse ◽

Stochastic Linear Programs ◽

Multistage Stochastic Linear Programs

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Solving Sequences of Refined Multistage Stochastic Linear Programs

Annals of Operations Research ◽

10.1023/b:anor.0000004766.05076.9d ◽

2003 ◽

Vol 124 (1-4) ◽

pp. 133-163 ◽

Author(s):

Karl Frauendorfer ◽

Gido Haarbrücker

Keyword(s):

Linear Programs ◽

Stochastic Linear Programs ◽

Multistage 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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Reflections on Output Analysis for Multistage Stochastic Linear Programs

Lecture Notes in Economics and Mathematical Systems - Dynamic Stochastic Optimization ◽

10.1007/978-3-642-55884-9_1 ◽

2004 ◽

pp. 3-20 ◽

Author(s):

Jitka Dupačová

Keyword(s):

Linear Programs ◽

Output Analysis ◽

Stochastic Linear Programs ◽

Multistage Stochastic Linear Programs

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A parallel implementation of the nested decomposition algorithm for multistage stochastic linear programs

Mathematical Programming ◽

10.1007/bf02592158 ◽

1996 ◽

Vol 75 (2) ◽

pp. 327-352 ◽

Author(s):

John R. Birge ◽

Christopher J. Donohue ◽

Derek F. Holmes ◽

Oleg G. Svintsitski

Keyword(s):

Parallel Implementation ◽

Decomposition Algorithm ◽

Linear Programs ◽

Stochastic Linear Programs ◽

Multistage Stochastic Linear Programs

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