Accession Number : ADA186148

Title :   A Multicut Algorithm for Two-Stage Stochastic Linear Programs.

Descriptive Note : Technical rept.,

Corporate Author : MICHIGAN UNIV ANN ARBOR DEPT OF INDUSTRIAL AND OPERATIONS ENGINEERING

Personal Author(s) : Birge, John R ; Louveaux, Francois V

PDF Url : ADA186148

Report Date : Dec 1986

Pagination or Media Count : 22

Abstract : Outer linearization methods, such as Van Slyke and Wets's L-shaped method for stochastic linear programs, generally apply a single cut on the nonlinear objective at each major iteration. The structure of stochastic programs allows for several cuts to be placed at once. This paper describes a multicut algorithm to carry out this procedure. It presents experimental and theoretical justification for reductions in major iterations. Keywords: Operations research.

Descriptors :   *ALGORITHMS, *LINEAR PROGRAMMING, EXTERNAL, LINEARITY, OPERATIONS RESEARCH, STAGING, STOCHASTIC PROCESSES, ITERATIONS

Subject Categories : Operations Research

Distribution Statement : APPROVED FOR PUBLIC RELEASE