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A Log-Barrier method with Benders decomposition for solving two-stage stochastic linear programs

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Abstract.

An algorithm incorporating the logarithmic barrier into the Benders decomposition technique is proposed for solving two-stage stochastic programs. Basic properties concerning the existence and uniqueness of the solution and the underlying path are studied. When applied to problems with a finite number of scenarios, the algorithm is shown to converge globally and to run in polynomial-time.

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Authors and Affiliations

  1. Department of Mathematics, National University of Singapore, 10 Kent Ridge Crescent, 119260 Singapore, e-mail: matzgy@math.nus.edu.sg, , , , , , SG

    Gongyun Zhao

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  1. Gongyun Zhao
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Received: August 1998 / Accepted: August 2000¶Published online April 12, 2001

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Zhao, G. A Log-Barrier method with Benders decomposition for solving two-stage stochastic linear programs. Math. Program. 90, 507–536 (2001). https://doi.org/10.1007/PL00011433

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  • DOI: https://doi.org/10.1007/PL00011433

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