1st Edition

Stochastic Linear Programming Algorithms
A Comparison Based on a Model Management System

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ISBN 9789056991449
Published February 25, 1998 by CRC Press
163 Pages

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Book Description

A computationally oriented comparison of solution algorithms for two stage and jointly chance constrained stochastic linear programming problems, this is the first book to present comparative computational results with several major stochastic programming solution approaches.

The following methods are considered: regularized decomposition, stochastic decomposition and successive discrete approximation methods for two stage problems; cutting plane methods, and a reduced gradient method for jointly chance constrained problems.

The first part of the book introduces the algorithms, including a unified approach to decomposition methods and their regularized counterparts. The second part addresses computer implementation of the methods, describes a testing environment based on a model management system, and presents comparative computational results with the various algorithms. Emphasis is on the computational behavior of the algorithms.

Table of Contents

1. Stochastic Linear Programming Models 2. Stochastic Linear Programming Algorithms 3. Implementation. The Testing Environment 4. Computational Results 5. Algorithmic Concepts in Convex Programming

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