A parallel implementation of the nested decomposition algorithm for multistage stochastic linear programs
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Publication:1363435
DOI10.1007/BF02592158zbMATH Open0874.90142OpenAlexW2084805084MaRDI QIDQ1363435FDOQ1363435
John R. Birge, Derek F. Holmes, Oleg G. Svintsitski, Christopher J. Donohue
Publication date: 7 August 1997
Published in: Mathematical Programming. Series A. Series B (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/bf02592158
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computational experienceparallel implementationsnested decomposition algorithmmultistage stochastic linear programs
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- A set of staircase linear programming test problems
- Computation in Discrete Stochastic Programs with Recourse
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Cited In (31)
- Algorithm 768: TENSOLVE
- Nested decomposition of multistage nonlinear programs with recourse
- Re-solving stochastic programming models for airline revenue management
- Analysis of stochastic problem decomposition algorithms in computational grids
- Scalable parallel Benders decomposition for stochastic linear programming
- Planning hydroelectric resources with recourse-based multistage interval-stochastic programming
- An Embarrassingly Parallel Method for Large-Scale Stochastic Programs
- Multi-period stochastic portfolio optimization: block-separable decomposition
- Cut sharing for multistage stochastic linear programs with interstage dependency
- Multistage stochastic programming model for electric power capacity expansion problem
- Accelerating techniques on nested decomposition
- Financial planning via multi-stage stochastic optimization.
- Risk budgeting portfolios from simulations
- Decomposition methods in stochastic programming
- Parallel processors for planning under uncertainty
- On pricing-based equilibrium for network expansion planning. A multi-period bilevel approach under uncertainty
- Strategic financial risk management and operations research
- Stochastic and semidefinite optimization for scheduling in orthogonal frequency division multiple access networks
- On parallelization of a stochastic dynamic programming algorithm for solving large-scale mixed \(0-1\) problems under uncertainty
- A parallel branch-and-fix coordination based matheuristic algorithm for solving large sized multistage stochastic mixed 0-1 problems
- An improved L-shaped method for solving process flexibility design problems
- Parallel Scenario Decomposition of Risk-Averse 0-1 Stochastic Programs
- Single cut and multicut stochastic dual dynamic programming with cut selection for multistage stochastic linear programs: convergence proof and numerical experiments
- Solving multistage quantified linear optimization problems with the alpha-beta nested Benders decomposition
- Schumann, a modeling framework for supply chain management under uncertainty
- Two-stage linear decision rules for multi-stage stochastic programming
- Dynamic sequencing and cut consolidation for the parallel hybrid-cut nested L-shaped method
- A primal-dual decomposition algorithm for multistage stochastic convex programming
- Preemptive rerouting of airline passengers under uncertain delays
- Parallel decomposition of multistage stochastic programming problems
- Parallel decomposition of large-scale stochastic nonlinear programs
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