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

DOI10.1007/BF01299391zbMath0795.90046OpenAlexW2087385371MaRDI QIDQ1318278

Diana S. Yakowitz

Publication date: 27 March 1994

Published in: Computational Optimization and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf01299391

zbMATH Keywords

recoursecutting plane methodstwo-stage stochastic linear programmingcut dropping schemeregularized stochastic decomposition algorithm

Mathematics Subject Classification ID

Stochastic programming (90C15)

Related Items (2)

Finite master programs in regularized stochastic decomposition ⋮ Divide to conquer: decomposition methods for energy optimization

Uses Software

• MSLiP

Cites Work

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• A Lagrangian finite generation technique for solving linear-quadratic problems in stochastic programming
• A regularized decomposition method for minimizing a sum of polyhedral functions
• A set of staircase linear programming test problems
• A modification and an extension of Lemarechal’s algorithm for nonsmooth minimization
• Stochastic Decomposition: An Algorithm for Two-Stage Linear Programs with Recourse
• An Algorithm for Constrained Optimization with Semismooth Functions
• L-Shaped Linear Programs with Applications to Optimal Control and Stochastic Programming

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