Formulating Two-Stage Stochastic Programs for Interior Point Methods
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Publication:3988906
DOI10.1287/OPRE.39.5.757zbMATH Open0739.90048OpenAlexW2138492203MaRDI QIDQ3988906FDOQ3988906
Authors: Irvin Lustig, John M. Mulvey, Tamra J. Carpenter 
Publication date: 28 June 1992
Published in: Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1287/opre.39.5.757
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stochastic networksfinancial planninginterior point algorithmstwo-stage stochastic programssplit variable approachstaircase constraint structure
Stochastic programming (90C15) Computational methods for problems pertaining to operations research and mathematical programming (90-08) Stochastic network models in operations research (90B15)
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- The double exponential runtime is tight for 2-stage stochastic ILPs
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- Splitting dense columns of constraint matrix in interior point methods for large scale linear programming11The results discussed in the paper have been obtained when the author was staying at LAMSADE, University of Paris Dauphine, Place du Marechal de Lattre de Tassigny, 75775 Paris Cedex 16, France$ef:22A preliminary version of the paper has been presented at the Applied Mathematical Programming and Modelling Symposium APMOD’91 in London, January 14-…
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