The Dual Forest Iteration Method for The Stochastic Transportation Problem

Qi, L. (1984). The Dual Forest Iteration Method for The Stochastic Transportation Problem. IIASA Working Paper. IIASA, Laxenburg, Austria: WP-84-059

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Abstract

This paper presents a dual forest iteration algorithm for solving the stochastic transportation problem. The algorithm iterates from one dual forest to another with the values of the dual objective function strictly increasing in the nondegenerate case. It therefore converges in a finite number of steps. At each step it is necessary to solve at most two one-dimensional monotone equations. If the computation is interrupted before completion, a primal feasible solution, and upper and lower bounds to the optimal value of the objective function can be obtained. A numerical example is also presented.

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