Forest iteration method for stochastic transportation problem

Qi L (2009). Forest iteration method for stochastic transportation problem. In: Mathematical Programming Essays in Honor of George B. Dantzig Part II. Eds. Cottle, R.W., Mathematical Programming Studies, 25 . pp. 142-163 Berlin/Heidelberg, Germany: Springer. DOI:10.1007/BFb0121081.

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Abstract

The transportation problem with stochastic demands is a special version of the stochastic linear programming problem with simple recourse. It has many economic applications. In this paper we present a new algorithm to solve this problem. Instead of discretizing the distribution functions of the stochastic demands, we explore the problem’s network aspects and propose a forest iteration method to solve it. This method iterates from one base forest triple to another base forest triple with strictly decreasing objective values. Therefore, it converges in finitely many steps. The nonlinear work in each step consists of solving a small number of one-dimensional monotone equations.

Item Type: Book Section
Uncontrolled Keywords: Stochastic Transportation Problem; Tree; Forest Convexity; Iteration Method
Research Programs: System and Decision Sciences - Core (SDS)
Depositing User: Romeo Molina
Date Deposited: 02 Mar 2016 13:05
Last Modified: 06 Jun 2016 10:11
URI: http://pure.iiasa.ac.at/12149

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