MSLiP: A computer code for the multistage stochastic linear programming problem

DOI10.1007/BF01580872zbMath0701.90070OpenAlexW2093704185MaRDI QIDQ914552

Horand I. Gassmann

Publication date: 1990

Published in: Mathematical Programming. Series A. Series B (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf01580872

zbMATH Keywords

multistage stochastic linear programmingnested decomposition algorithmstaircase problems

Mathematics Subject Classification ID

Numerical mathematical programming methods (65K05) Linear programming (90C05) Stochastic programming (90C15) Computational methods for problems pertaining to operations research and mathematical programming (90-08)

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Uses Software

• MINOS

Cites Work

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• Convergence behavior of decomposition algorithms for linear programs
• A multicut algorithm for two-stage stochastic linear programs
• Partitioning procedures for solving mixed-variables programming problems
• Lifting projections of convex polyhedra
• Decomposition Principle for Linear Programs
• Decomposition and Partitioning Methods for Multistage Stochastic Linear Programs
• Nested decomposition of multistage nonlinear programs with recourse
• A Solution Method for Multistage Stochastic Programs with Recourse with Application to an Energy Investment Problem
• A set of staircase linear programming test problems
• Nested decomposition for dynamic models
• Nested Decomposition and Multi-Stage Linear Programs
• Nested Decomposition of Multistage Convex Programs
• Matrix augmentation and partitioning in the updating of the basis inverse
• Convex Analysis
• L-Shaped Linear Programs with Applications to Optimal Control and Stochastic Programming
• Computation in Discrete Stochastic Programs with Recourse

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