A New Decomposition Technique in Solving Multistage Stochastic Linear Programs by Infeasible Interior Point Methods

@article{Liu2004AND,
  title={A New Decomposition Technique in Solving Multistage Stochastic Linear Programs by Infeasible Interior Point Methods},
  author={Xinwei Liu and Jie Sun},
  journal={J. Global Optimization},
  year={2004},
  volume={28},
  pages={197-215}
}
Multistage stochastic linear programming (MSLP) is a powerful tool for making decisions under uncertainty. A deteministic equivalent of MSLP is a large-scale linear program with nonanticipativity constraints. Recently developed infeasible interior point methods are used to solve the resulting linear program. Technical problems arising from this approach… CONTINUE READING