Formulating Two-Stage Stochastic Programs for Interior Point Methods

DOI10.1287/opre.39.5.757zbMath0739.90048OpenAlexW2138492203MaRDI QIDQ3988906

Tamra J. Carpenter, John M. Mulvey, Irvin J. Lustig

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

zbMATH Keywords

interior point algorithms financial planning stochastic networks two-stage stochastic programs split variable approach staircase constraint structure

Mathematics Subject Classification ID

Stochastic programming (90C15) Stochastic network models in operations research (90B15) Computational methods for problems pertaining to operations research and mathematical programming (90-08)

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Uses Software

MINOS