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Decomposition and Partitioning Methods for Multistage Stochastic Linear Programs

1985; Institute for Operations Research and the Management Sciences; Volume: 33; Issue: 5 Linguagem: Inglês

10.1287/opre.33.5.989

1526-5463

John R. Birge,

Fuzzy Systems and Optimization

Multistage stochastic linear programs model problems in financial planning, dynamic traffic assignment, economic policy analysis, and many other applications. Equivalent representations of such problems as deterministic linear programs are, however, excessively large. This paper develops decomposition and partitioning methods for solving these problems and reports on computational results on a set of practical test problems.