The Abridged Nested Decomposition Method for Multistage Stochastic Linear Programs with Relatively Complete Recourse

Authors

  • Christopher J. Donohue Global Association of Risk Professionals, Jersey City, NJ, USA
  • John R. Birge The University of Chicago Graduate School of Business, Chicago, IL, USA

Abstract

This paper considers large-scale multistage stochastic linear programs. Sampling is incorporated into the nested decomposition algorithm in a manner which proves to be significantly more efficient than a previous approach. The main advantage of the method arises from maintaining a restricted set of solutions that substantially reduces computation time in each stage of the procedure.

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Published

2006-01-24

How to Cite

Donohue, C. J., & Birge, J. R. (2006). The Abridged Nested Decomposition Method for Multistage Stochastic Linear Programs with Relatively Complete Recourse. Algorithmic Operations Research, 1(1). Retrieved from https://journals.lib.unb.ca/index.php/AOR/article/view/94

Issue

Vol. 1 No. 1 (2006)

Section

Articles

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