A modified L-shaped method

被引：2
|
作者：
Abaffy, J [1 ]
Allevi, E
机构：
[1] Univ Econ Sci & Publ Adm, Dept Comp Sci, Budapest, Hungary
[2] Univ Brescia, Dept Quantitat Methods, Brescia, Italy
来源：
JOURNAL OF OPTIMIZATION THEORY AND APPLICATIONS | 2004年 / 123卷 / 02期
关键词：
linear programming; stochastic programming; simplex method; LU factorization; L-shaped method; ABS methods;
D O I：
10.1007/s10957-004-5148-y
中图分类号：
C93 [管理学]; O22 [运筹学];
学科分类号：
070105 ; 12 ; 1201 ; 1202 ; 120202 ;
摘要：
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.
引用
收藏
页码：255 / 270
页数：16
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