Parallel algorithms to solve two-stage stochastic linear programs with robustness constraints

In this paper we present a parallel method for solving two-stage stochastic linear programs with restricted recourse. The mathematical model considered here can be used to represent several real-world applications, including ®nancial and production planning problems, for which signi®cant changes in the recourse solutions should be avoided because of their diculty to be implemented. Our parallel method is based on a primal-dual path-following interior point algorithm, and exploits fruitfully the dual block-angular structure of the constraint matrix and the special block structure of the matrices involved in the restricted recourse model. We describe and discuss both message-passing and shared-memory implementations and we present the numerical results collected on the Origin2000. Ó 2000 Elsevier Science B.V. All rights reserved.