Sensitivity method for basis inverse representation in multistage stochastic linear programming problems

J. Gondzio*, A. Ruszczyński

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

Abstract

A version of the simplex method for solving stochastic linear control problems is presented. The method uses a compact basis inverse representation that extensively exploits the original problem data and takes advantage of the supersparse structure of the problem. Computational experience indicates that the method is capable of solving large problems.

Original languageEnglish
Pages (from-to)221-242
Number of pages22
JournalJournal of Optimization Theory and Applications
Volume74
Issue number2
DOIs
Publication statusPublished - 1 Aug 1992

Keywords

  • Linear programming
  • simplex method
  • stochastic programming

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