Sensitivity method for basis inverse representation in multistage stochastic linear programming problems

J. Gondzio, A. Ruszczyński

Research output: Contribution to journalArticle

2 Scopus citations

Abstract

A version of the simplex method for solving stochastic linear control problems is presented. The method uses a compact basis inverse representation that extensively exploits the original problem data and takes advantage of the supersparse structure of the problem. Computational experience indicates that the method is capable of solving large problems.

Original languageEnglish (US)
Pages (from-to)221-242
Number of pages22
JournalJournal of Optimization Theory and Applications
Volume74
Issue number2
DOIs
StatePublished - Aug 1 1992
Externally publishedYes

All Science Journal Classification (ASJC) codes

  • Control and Optimization
  • Management Science and Operations Research
  • Applied Mathematics

Keywords

  • Linear programming
  • simplex method
  • stochastic programming

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