Parallel Implementation of Augmented Lagrangian Method within L-Shaped Method for Stochastic Linear Programs
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DOI: 10.2298/fil1703799b
Abstract: In this paper, we study two-stage stochastic linear programming (SLP) problems with fixed recourse. The problem is often large scale as the objective function involves an expectation over a discrete set of scenarios. This paper… read more here.
Keywords: stochastic linear; lagrangian method; parallel implementation; method ... See more keywords