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

DOI10.1287/ijoc.1040.0112zbMath1241.90096OpenAlexW2148265058MaRDI QIDQ2892301

Xin-Wei Liu, Jie Sun

Publication date: 18 June 2012

Published in: INFORMS Journal on Computing (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/9545cca6c97e4d7b1730bb11a613d8e45cf05e9b

zbMATH Keywords

decompositioninterior-point methodsmultistage stochastic linear programs

Mathematics Subject Classification ID

Stochastic programming (90C15) Interior-point methods (90C51)

Related Items (4)

Parallelizable preprocessing method for multistage stochastic programming problems ⋮ A decomposition-based crash-start for stochastic programming ⋮ Unnamed Item ⋮ On the implementation of a log-barrier progressive hedging method for multistage stochastic programs

Uses Software

• LIPSOL

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