On a distributed implementation of a decomposition method for multistage linear stochastic programs

DOI10.1080/02331939608844246zbMath0867.90087OpenAlexW2067956972MaRDI QIDQ2785399

J. Korycki

Publication date: 4 August 1997

Published in: Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02331939608844246

zbMATH Keywords

tree-like structurelinear multistage stochastic programmingparallel decomposition methodsystem of subproblems

Mathematics Subject Classification ID

Stochastic programming (90C15) Parallel numerical computation (65Y05) Decomposition methods (49M27)

Uses Software

• MSLiP

Cites Work

• Parallel processors for planning under uncertainty
• MSLiP: A computer code for the multistage stochastic linear programming problem
• A multicut algorithm for two-stage stochastic linear programs
• Computational methods for solving two-stage stochastic linear programming problems
• Parallel decomposition of multistage stochastic programming problems
• Decomposition Principle for Linear Programs
• Scenarios and Policy Aggregation in Optimization Under Uncertainty
• Dual nested decomposition of staircase linear programs
• Decomposition and Partitioning Methods for Multistage Stochastic Linear Programs
• A regularized decomposition method for minimizing a sum of polyhedral functions
• Solving staircase linear programs by the simplex method, 1: Inversion
• Formulating Two-Stage Stochastic Programs for Interior Point Methods
• Nested decomposition for dynamic models
• Solving staircase linear programs by the simplex method, 2: Pricing
• L-Shaped Linear Programs with Applications to Optimal Control and Stochastic Programming
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