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A cutting plane method from analytic centers for stochastic programming

Math. Program., no. 1 (1995): 45-73

Cited: 85|Views21

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cutting planeinterior-point methodstochastic programmingplane methodanalytic centerMore(5+)

Abstract

The stochastic linear programming problem with recourse has a dual block angular structure.It can thus be handled by Benders decomposition or by Kelley's method of cuttingplanes; equivalently the dual problem has a primal block angular structure and can behandled by Dantzig-Wolfe decomposition--- the two approaches are in fact identical ...More

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