%A A. Ruszczynski
%A A. Swietanowski
%T On the Regularized Decomposition Method for Two Stage Stochastic Linear Problems
%X 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.
%C IIASA, Laxenburg, Austria
%D 1996
%I WP-96-014
%L iiasa5011