A Sensitivity Method for Solving Multistage Stochastic Linear Programming Problems

  • Jacek Gondzio
  • Andrzej Ruszczynski
Part of the Lecture Notes in Economics and Mathematical Systems book series (LNE, volume 331)


A version of the simplex method for solving stochastic linear control problems is presented. The method takes advantage of the structure of the problem to achieve utmost memory economy in both data representation and basis inverse management.


Simplex Method Sensitivity Matrix Multistage Stochastic Program Basis Inverse General Sparse Matrix 
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Copyright information

© Springer-Verlag Berlin Heidelberg 1989

Authors and Affiliations

  • Jacek Gondzio
    • 1
  • Andrzej Ruszczynski
    • 2
  1. 1.Systems Research InstitutePolish Academy of SciencesWarsawPoland
  2. 2.Institute of Automatic ControlWarsaw University of TechnologyPoland

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