This paper presents a modified version of the L-shaped method (Refs. 1 - 5), used to solve two-stage stochastic linear programs with fixed recourse, by employing the implicit LX method and the implicit LP method ( Refs. 6 - 9) of the ABS class of methods. By exploiting the properties and special structure of the ABS class and applying these to the simplex method, the number of arithmetic operations is greatly decreased.
A modified L-Shaped method
ALLEVI, Elisabetta
2004-01-01
Abstract
This paper presents a modified version of the L-shaped method (Refs. 1 - 5), used to solve two-stage stochastic linear programs with fixed recourse, by employing the implicit LX method and the implicit LP method ( Refs. 6 - 9) of the ABS class of methods. By exploiting the properties and special structure of the ABS class and applying these to the simplex method, the number of arithmetic operations is greatly decreased.File in questo prodotto:
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