A Log-Barrier method with Benders decomposition for solving two-stage stochastic linear programs |
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Authors: | Gongyun Zhao |
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Affiliation: | (1) Department of Mathematics, National University of Singapore, 10 Kent Ridge Crescent, 119260 Singapore, e-mail: matzgy@math.nus.edu.sg, SG |
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Abstract: | 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. Received: August 1998 / Accepted: August 2000?Published online April 12, 2001 |
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Keywords: | : stochastic programming – large-scale linear programming – Barrier function – interior point methods – Benders decomposition – complexity |
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