A computational study of a solver system for processing two-stage stochastic LPs with enhanced Benders decomposition

We report a computational study of two-stage SP models on a large set of benchmark problems and consider the following methods: (i) Solution of the deterministic equivalent problem by the simplex method and an interior point method, (ii) Benders decomposition (L-shaped method with aggregated cuts), (iii) Regularised decomposition of Ruszczyński (Math Program 35:309–333, 1986), (iv) Benders decomposition with regularization of the expected recourse by the level method (Lemaréchal et al. in Math Program 69:111–147, 1995), (v) Trust region (regularisation)method of Linderoth andWright (ComputOptimAppl 24:207–250, 2003). In this study the three regularisation methods have been introduced within the computational structure of Benders decomposition. Thus second-stage infeasibility is controlled in the traditional manner, by imposing feasibility cuts. This approach allows extensions of the regularisation to feasibility issues, as in Fábián and Szőke (Comput Manag Sci 4:313–353, 2007). We report computational results for a wide range of benchmark V. Zverovich (B) · E. F. D. Ellison · G. Mitra OptiRisk Systems, OptiRisk R&D House, One Oxford Road, Uxbridge, Middlesex, UB9 4DA, UK e-mail: [email protected] E. F. D. Ellison · G. Mitra The Centre for the Analysis of Risk and Optimisation Modelling Applications (CARISMA), School of Information Systems, Computing and Mathematics, Brunel University, London, UK e-mail: [email protected] C. I. Fábián Institute of Informatics, Kecskemét College, 10 Izsáki út, Kecskemét 6000, Hungary e-mail: [email protected] C. I. Fábián Department of OR, Loránd Eötvös University, Budapest, Hungary