Journal of the Korean Operations Research and Management Science Society (한국경영과학회지)

The Korean Operations Research and Management Science Society (한국경영과학회)
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A Study on Solution Methods of Two-stage Stochastic LP Problems

  • Published : 1997.03.01
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Abstract

In this paper, we have proposed new solution methods to solve TSLP (two-stage stochastic linear programming) problems. One solution method is to combine the analytic center concept with Benders' decomposition strategy to solve TSLP problems. Another method is to apply an idea proposed by Geoffrion and Graves to modify the L-shaped algorithm and the analytic center algorithm. We have compared the numerical performance of the proposed algorithms to that of the existing algorithm, the L-shaped algorithm. To effectively compare those algorithms, we have had computational experiments for seven test problems.

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