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Some insights into the solution algorithms for SLP problems


Kall, Peter; Mayer, János (2006). Some insights into the solution algorithms for SLP problems. Annals of Operations Research, 142(1):147-164.

Abstract

We consider classes of stochastic linear programming problems which can be efficiently solved by deterministic algorithms. For two–stage recourse problems we identify two such classes. The first one consists of problems where the number of stochastically independent random variables is relatively low; the second class is the class of simple recourse problems. The proposed deterministic algorithm is successive discrete approximation. We also illustrate the impact of required accuracy on the efficiency of this algorithm. For jointly chance constrained problems with a random right–hand–side and multivariate normal distribution we demonstrate the increase in efficiency when lower accuracy is required, for a central cutting plane method. We support our argumentation and findings with computational results.

Abstract

We consider classes of stochastic linear programming problems which can be efficiently solved by deterministic algorithms. For two–stage recourse problems we identify two such classes. The first one consists of problems where the number of stochastically independent random variables is relatively low; the second class is the class of simple recourse problems. The proposed deterministic algorithm is successive discrete approximation. We also illustrate the impact of required accuracy on the efficiency of this algorithm. For jointly chance constrained problems with a random right–hand–side and multivariate normal distribution we demonstrate the increase in efficiency when lower accuracy is required, for a central cutting plane method. We support our argumentation and findings with computational results.

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Additional indexing

Item Type:Journal Article, refereed, original work
Communities & Collections:03 Faculty of Economics > Department of Business Administration
Dewey Decimal Classification:330 Economics
Scopus Subject Areas:Social Sciences & Humanities > General Decision Sciences
Social Sciences & Humanities > Management Science and Operations Research
Language:English
Date:2006
Deposited On:28 Aug 2019 14:58
Last Modified:31 Jul 2020 03:35
Publisher:Springer
ISSN:0254-5330
OA Status:Green
Free access at:Publisher DOI. An embargo period may apply.
Publisher DOI:https://doi.org/10.1007/s10479-006-6166-y
Other Identification Number:merlin-id:3486

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