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A multicut algorithm for two-stage stochastic linear programs

dc.contributor.authorBirge, John R.en_US
dc.contributor.authorLouveaux, Francois V.en_US
dc.date.accessioned2006-04-07T20:23:02Z
dc.date.available2006-04-07T20:23:02Z
dc.date.issued1988-03en_US
dc.identifier.citationBirge, John R., Louveaux, Francois V. (1988/03)."A multicut algorithm for two-stage stochastic linear programs." European Journal of Operational Research 34(3): 384-392. <http://hdl.handle.net/2027.42/27390>en_US
dc.identifier.urihttp://www.sciencedirect.com/science/article/B6VCT-48M3FK0-29/2/0ea37614f06d549122fa8ebb52bc3cf7en_US
dc.identifier.urihttps://hdl.handle.net/2027.42/27390
dc.description.abstractOuter linearization methods, such as Van Slyke and West's L-shaped method for stochastic linear programs, generally apply a single cut on the nonlinear objective at each major iteration. The structure of stochastic programs allows for several cuts to be placed at once. This paper describes a multicut algorithm to carry out this procedure. It presents experimental and theoretical justification for reductions in major iterations.en_US
dc.format.extent604088 bytes
dc.format.extent3118 bytes
dc.format.mimetypeapplication/pdf
dc.format.mimetypetext/plain
dc.language.isoen_US
dc.publisherElsevieren_US
dc.titleA multicut algorithm for two-stage stochastic linear programsen_US
dc.typeArticleen_US
dc.rights.robotsIndexNoFollowen_US
dc.subject.hlbsecondlevelManagementen_US
dc.subject.hlbsecondlevelIndustrial and Operations Engineeringen_US
dc.subject.hlbsecondlevelEconomicsen_US
dc.subject.hlbtoplevelBusinessen_US
dc.subject.hlbtoplevelEngineeringen_US
dc.description.peerreviewedPeer Revieweden_US
dc.contributor.affiliationumDepartment of Industrial and Operations Engineering, The University of Michigan, Ann Arbor, MI 48109, U.S.A.en_US
dc.contributor.affiliationotherFaculté des Sciences Economiques et Sociales, Facultés Universitaires N-D de la Paix, B-5000, Belgiumen_US
dc.description.bitstreamurlhttp://deepblue.lib.umich.edu/bitstream/2027.42/27390/1/0000421.pdfen_US
dc.identifier.doihttp://dx.doi.org/10.1016/0377-2217(88)90159-2en_US
dc.identifier.sourceEuropean Journal of Operational Researchen_US
dc.owningcollnameInterdisciplinary and Peer-Reviewed


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