The augmented system variant of IPMs in two-stage stochastic linear programming computation

DOI10.1016/S0377-2217(96)00400-6zbMath0929.90066OpenAlexW1969321535MaRDI QIDQ1278963

Csaba Meszaros

Publication date: 18 January 2000

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0377-2217(96)00400-6

zbMATH Keywords

two-stage stochastic linear programming

Mathematics Subject Classification ID

Large-scale problems in mathematical programming (90C06) Linear programming (90C05) Stochastic programming (90C15) Interior-point methods (90C51)

Related Items (6)

On sparse matrix orderings in interior point methods ⋮ A new class of preconditioners for large-scale linear systems from interior point methods for linear programming ⋮ Some insights into the solution algorithms for SLP problems ⋮ On the role of bounds in stochastic linear programming ⋮ Sparsity in convex quadratic programming with interior point methods ⋮ The BPMPD interior point solver for convex quadratic problems

Uses Software

• SLP-IOR

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• A new polynomial-time algorithm for linear programming
• Stochastic network optimization models for investment planning
• On the augmented system approach to sparse least-squares problems
• The role of the augmented system in interior point methods
• Solving symmetric indefinite systems in an interior-point method for linear programming
• Fast Cholesky factorization for interior point methods of linear programming
• Symmetric indefinite systems for interior point methods
• Efficient solution of two-stage stochastic linear programs using interior point methods
• Multiple centrality corrections in a primal-dual method for linear programming
• Computing Block-Angular Karmarkar Projections with Applications to Stochastic Programming
• Formulating Two-Stage Stochastic Programs for Interior Point Methods
• Computing Sparse LU Factorizations for Large-Scale Linear Programming Bases
• Modifying Pivot Elements in Gaussian Elimination
• Stochastic Programs with Fixed Recourse: The Equivalent Deterministic Program
• Feature Article—Interior Point Methods for Linear Programming: Computational State of the Art
• A modified Schur-complement method for handling dense columns in interior-point methods for linear programming
• A Study of the Augmented System and Column-Splitting Approaches for Solving Two-Stage Stochastic Linear Programs by Interior-Point Methods
• L-Shaped Linear Programs with Applications to Optimal Control and Stochastic Programming
• Direct Methods for Solving Symmetric Indefinite Systems of Linear Equations

This page was built for publication: The augmented system variant of IPMs in two-stage stochastic linear programming computation