The abridged nested decomposition method for multistage stochastic linear programs with relatively complete recourse

The abridged nested decomposition method for multistage stochastic linear programs with relatively complete recourse

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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: ,
Keywords: programming: probabilistic
Abstract:

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.

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