| Article ID: | iaor2002965 |
| Country: | Germany |
| Volume: | 90 |
| Issue: | 3 |
| Start Page Number: | 507 |
| End Page Number: | 536 |
| Publication Date: | Jan 2001 |
| Journal: | Mathematical Programming |
| Authors: | Zhao G. |
| Keywords: | programming: linear |
An algorithm incorporating the logarithmic barrier into the Benders decomposition technique is proposed for solving two-stage stochastic programs. Basic properties concerning the existence and uniqueness of the solution and the underlying path are studied. When applied to problems with a finite number of scenarios, the algorithm is shown to converge globally and to run in polynomial-time.