Article ID: | iaor20062915 |
Country: | Canada |
Volume: | 1 |
Issue: | 1 |
Start Page Number: | 20 |
End Page Number: | 30 |
Publication Date: | Jan 2006 |
Journal: | Algorithmic Operations Research |
Authors: | Birge John R., Donohue Christopher J. |
Keywords: | programming: probabilistic |
This paper considers large-scale multistage stochastic linear programs. Sampling is incorporated into the nested decomposition algorithm in a manner which proves to be significantly more efficient than a previous approach. The main advantage of the method arises from maintaining a restricted set of solutions that substantially reduces computation time in each stage of the procedure.