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