Solving multistage stochastic network programs on massively parallel computers

@article{Nielsen1996SolvingMS,
  title={Solving multistage stochastic network programs on massively parallel computers},
  author={S\oren Saxmose Nielsen and Stavros A. Zenios},
  journal={Math. Program.},
  year={1996},
  volume={73},
  pages={227-250}
}
Multi-stage stochastic programs are typically extremely large, and can be prohibitively expensive to solve on the computer. In this paper we develop an algorithm for multistage programs that integrates the primal-dual row-action framework with prox-imal minimization. The algorithm exploits the structure of stochastic programs with network recourse, using a suitable problem formulation based on split variables, to decompose the solution into a large number of simple operations. It is therefore… CONTINUE READING

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