Mathematical Programming

, Volume 90, Issue 3, pp 507–536 | Cite as

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

  • Gongyun Zhao


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.

Key words: stochastic programming – large-scale linear programming – Barrier function – interior point methods – Benders decomposition – complexity 
Mathematics Subject Classification (2000): 90C15, 90C05, 90C06, 90C60 


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Copyright information

© Springer-Verlag Berlin Heidelberg 2001

Authors and Affiliations

  • Gongyun Zhao
    • 1
  1. 1.Department of Mathematics, National University of Singapore, 10 Kent Ridge Crescent, 119260 Singapore, e-mail:

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