A Study of the Augmented System and Column-Splitting Approaches for Solving Two-Stage Stochastic Linear Programs by Interior-Point Methods

DOI10.1287/ijoc.7.4.474zbMath0843.90084OpenAlexW2116102848MaRDI QIDQ4869762

Joseph Czyzyk, Robert Fourer, Sanjay Mehrotra

Publication date: 19 August 1996

Published in: ORSA Journal on Computing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1287/ijoc.7.4.474

zbMATH Keywords

two-stage stochastic programming block-structured matrices augmented system approach Schur complement approach column-splitting approach robustness of interior-point methods

Mathematics Subject Classification ID

Linear programming (90C05) Stochastic programming (90C15)

Related Items (6)

On the formulation of stochastic linear programs using algebraic modelling languages ⋮ Solving multistage stochastic network programs on massively prallel computers ⋮ Optimization techniques for tree-structured nonlinear problems ⋮ Using a Massively Parallel Processor to Solve Large Sparse Linear Programs by an Interior-Point Method ⋮ Dynamic models for fixed-income portfolio management under uncertainty ⋮ The augmented system variant of IPMs in two-stage stochastic linear programming computation

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