Efficient solution of two-stage stochastic linear programs using interior point methods (Q1803648)

Stochastic programming problems with fixed recourse and a finite support of the probability measure are considered. It is well-known that such problems are (from the mathematical point of view) equivalent to linear programming problems of a rather greater dimension and consequently they can be solved by interior point methods. In the literature, this type of methods have been already modified for the above mentioned problems. The aim of the paper is to compare these modifications. To this end, first, the modifications are introduced. Furthermore, a great attention is devoted to the computational experience. At the end of the paper a discussion to the applications is presented.