MSLiP: A computer code for the multistage stochastic linear programming problem This paper describes an efficient implementation of a nested decomposition algorithm for the multistage stochastic linear programming problem. Many of the computational tricks developed for deterministic staircase problems are adapted to the stochastic setting and their effect on computation times is investigated. The computer code supports an arbitrary number of time periods and various types of random structures for the input data. Numerical results compare the performance of the algorithm to MINOS 5.0

References in zbMATH (referenced in 103 articles , 1 standard article )

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  1. Rebennack, Steffen: Combining sampling-based and scenario-based nested Benders decomposition methods: application to stochastic dual dynamic programming (2016)
  2. Lorenz, Ulf; Wolf, Jan: Solving multistage quantified linear optimization problems with the alpha-beta nested benders decomposition (2015)
  3. Espinoza, Daniel; Moreno, Eduardo: A primal-dual aggregation algorithm for minimizing conditional value-at-risk in linear programs (2014)
  4. Wolf, Christian; Fábián, Csaba I.; Koberstein, Achim; Suhl, Leena: Applying oracles of on-demand accuracy in two-stage stochastic programming -- a computational study (2014)
  5. Noyan, Nilay: Risk-averse two-stage stochastic programming with an application to disaster management (2012)
  6. Watson, Jean-Paul; Woodruff, David L.; Hart, William E.: PySP: modeling and solving stochastic programs in Python (2012)
  7. Zverovich, Victor; Fábián, Csaba I.; Ellison, Eldon F.D.; Mitra, Gautam: A computational study of a solver system for processing two-stage stochastic LPs with enhanced Benders decomposition (2012)
  8. Ederer, Thorsten; Lorenz, Ulf; Martin, Alexander; Wolf, Jan: Quantified linear programs: A computational study (2011)
  9. Mahlke, Debora: A scenario tree-based decomposition for solving multistage stochastic programs. With application in energy production. (2011)
  10. Rasekh, Lila; Desrosiers, Jacques: A two-level interior-point decomposition algorithm for multi-stage stochastic capacity planning and technology acquisition (2011)
  11. Chen, Lijian; Homem-De-Mello, Tito: Re-solving stochastic programming models for airline revenue management (2010)
  12. Liu, Xinwei; Toh, Kim-Chuan; Zhao, Gongyun: On the implementation of a log-barrier progressive hedging method for multistage stochastic programs (2010)
  13. Rasekh, Lila; Desrosiers, Jacques: Solving multi-stage stochastic in-house production and outsourcing planning by two-level decomposition (2010)
  14. Trukhanov, Svyatoslav; Ntaimo, Lewis; Schaefer, Andrew: Adaptive multicut aggregation for two-stage stochastic linear programs with recourse (2010)
  15. Ben Abdelaziz, Fouad; Masri, Hatem: Multistage stochastic programming with fuzzy probability distribution (2009)
  16. Epe, Alexa; Küchler, Christian; Römisch, Werner; Vigerske, Stefan; Wagner, Hermann-Josef; Weber, Christoph; Woll, Oliver: Optimization of dispersed energy supply --- stochastic programming with recombining scenario trees (2009)
  17. Escudero, Laureano F.; Garín, Araceli; Merino, María; Pérez, Gloria: On multistage stochastic integer programming for incorporating logical constraints in asset and liability management under uncertainty (2009)
  18. Fourer, R.; Gassmann, H.I.; Ma, J.; Martin, R.K.: An XML-based schema for stochastic programs (2009)
  19. Fourer, Robert; Lopes, Leo: StAMPL: A filtration-oriented modeling tool for multistage stochastic recourse problems (2009)
  20. Karabuk, Suleyman: Extending algebraic modelling languages to support algorithm development for solving stochastic programming models (2008)

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