A Log-Barrier method with Benders decomposition for solving two-stage stochastic linear programs
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.
Unable to display preview. Download preview PDF.