A multicut algorithm for two-stage stochastic linear programs (Q1104862): Difference between revisions

Algorithms for solving deterministic equivalents of two-stage stochastic linear programming problems with fixed recourse are considered. The authors propose to use the multicut L-shaped algorithm which needs not such a large number of iterations as the L-shaped algorithm [see \textit{R. M. Van Slyke} and \textit{R. Wets}, SIAM J. Appl. Math. 17, 638-663 (1969; Zbl 0197.456)]. The maximum number of iterations for both algorithms are found and the simple recourse problem is considered separately. Finally, results of numerical experiments are reviewed and two examples are presented.