A scalable parallel interior point algorithm for stochastic linear programming and robust optimization

DOI10.1023/A:1008675930362MaRDI QIDQ1363067zbMATH OpenFDO

Authors Dafeng Yang, Stavros A. Zenios

Publication date 7 August 1997

Published in Computational Optimization and Applications (Search for Journal in Brave)

zbMATH Keywords

matrix factorizationparallel computingrobust optimizationlarge-scale problemsinterior point algorithmplanning under uncertaintystochastic linear programming

Mathematics Subject Classification ID

Parallel numerical computation (65Y05) Linear programming (90C05) Stochastic programming (90C15)

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Cited in

(16)

• A two-stage stochastic programming model for electric energy producers
• Parallel interior-point method for linear and quadratic programs with special structure
• Limited recourse in two-stage stochastic linear programs
• Stochastic linear programs with restricted recourse
• The parallel solution of dense saddle-point linear systems arising in stochastic programming
• A preconditioning technique for Schur complement systems arising in stochastic optimization
• A risk function for the stochastic modeling of electric capacity expansion
• Computational assessment of distributed decomposition methods for stochastic linear programs
• Financial planning via multi-stage stochastic optimization.
• Parallel implementation of augmented Lagrangian method within L-shaped method for stochastic linear programs
• Parallelizable preprocessing method for multistage stochastic programming problems
• Strategic financial risk management and operations research
• Application of robust optimization to the Sawmill planning problem
• SICOpt: Solution approach for nonlinear integer stochastic programming problems
• Parallel algorithms to solve two-stage stochastic linear programs with robustness constraints
• A primal-dual decomposition algorithm for multistage stochastic convex programming

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