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.