RT Monograph
SR 00
A1 Ruszczynski, A.
A1 Swietanowski, A.
T1 On the Regularized Decomposition Method for Two Stage Stochastic Linear Problems
YR 1996
FD 1996-02
SP 25
AB A new approach to the regularized decomposition (RD) algorithm for two stage stochastic problems is presented. The RD method combines the ideas of the Dantzig-Wolfe decomposition principle and modern nonsmooth optimization methods. A new subproblem solution method using the primal simplex algorithm for linear programming is proposed and then tested on a number of large scale problems. The new approach makes it possible to use a more general problem formulation and thus allows considerably more freedom when creating the model. The computational results are highly encouraging.
PB WP-96-014
PP IIASA, Laxenburg, Austria
AV Published
LK https://pure.iiasa.ac.at/id/eprint/5011/