English, Article, Journal or magazine article edition: On the Regularized Decomposition Method for Two Stage Stochastic Linear Problems. A. Ruszczynski; A. Swietanowski

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Bookmark: http://trove.nla.gov.au/version/138423
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • On the Regularized Decomposition Method for Two Stage Stochastic Linear Problems.
Author
  • A. Ruszczynski
  • A. Swietanowski
Physical Description
  • preprint
Notes
  • A new approach to the regularized decomposition (RD) algorithm for two stage stochastic problems is presented. The RD method combines the ideas of the Dantzig-Wolfe decomposition principle and modern nonsmooth optimization methods. A new subproblem solution method using the primal simplex algorithm for linear programming is proposed and then tested on a number of large scale problems. The new approach makes it possible to use a more general problem formulation and thus allows considerably more freedom when creating the model. The computational results are highly encouraging.
  • RePEc:wop:iasawp:wp96014
Language
  • English
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