Decomposition and Partitioning Methods for Multistage Stochastic Linear Programs

1 October 1985

journal article
Published by Institute for Operations Research and the Management Sciences (INFORMS) in Operations Research

Vol. 33 (5) , 989-1007
https://doi.org/10.1287/opre.33.5.989

Abstract

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.

Keywords

MODEL
STOCHASTIC
MULTISTAGE
DECOMPOSITION AND PARTITIONING METHODS
DETERMINISTIC
REPRESENTATIONS

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