Solving Stochastic Linear Programs with Restricted Recourse Using Interior Point Methods

نویسندگان

  • Patrizia Beraldi
  • Roberto Musmanno
  • Chefi Triki
چکیده

In this paper we present a specialized matrix factorization procedure for computing the dual step in a primal-dual path-following interior point algorithm for solving two-stage stochastic linear programs with restricted recourse. The algorithm, based on the Birge-Qi factorization technique, takes advantage of both the dual block-angular structure of the constraint matrix and of the special structure of the second-stage matrices involved in the model. Extensive computational experiments on a set of test problems have been conducted in order to evaluate the performance of the developed code. The results are very promising, showing that the code is competitive with state-of-the-art optimizers.

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عنوان ژورنال:
  • Comp. Opt. and Appl.

دوره 15  شماره 

صفحات  -

تاریخ انتشار 2000