Decomposition and Partitioning Methods for Multistage Stochastic Linear Programs
Decomposition and Partitioning Methods for Multistage Stochastic Linear Programs
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DOI：
10.1287/opre.33.5.989
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发表时间：
1985-10
期刊：
影响因子：
--
通讯作者：
J. Birge
中科院分区：
文献类型：
--
作者：
J. Birge
多阶段随机线性规划模型问题在财务规划，动态交通分配，经济政策分析，和许多其他应用。然而，确定性线性规划等问题的等价表示过于庞大。本文开发的分解和分区方法来解决这些问题，并报告一组实际测试问题的计算结果。
Multistage stochastic linear programs model problems in financial planning, dynamic traffic assignment, economic policy analysis, and many other applications. Equivalent representations of such problems as deterministic linear programs are, however, excessively large. This paper develops decomposition and partitioning methods for solving these problems and reports on computational results on a set of practical test problems.