Dynamic sequencing and cut consolidation for the parallel hybrid‐cut nested L‐shaped method

The nested L‐shaped method is used to solve two‐ and multi‐stage linear stochastic programs with recourse, which can have integer variables on the first stage. In this paper we present and evaluate a cut consolidation technique and a dynamic sequencing protocol to accelerate the solution process. Furthermore, we present a parallelized implementation of the algorithm, which is developed within the COIN‐OR framework. We show on a test set of 51 two‐stage and 42 multi‐stage problems, that both of the developed techniques lead to significant speed ups in computation time.