Dynamic sequencing and cut consolidation for the parallel hybrid-cut nested L-shaped method

Christian Wolf and Achim Koberstein

European Journal of Operational Research, 2013, vol. 230, issue 1, 143-156

Abstract: The nested L-shaped method is used to solve two- and multi-stage linear stochastic programs with recourse, which can have integer variables on the first stage. In this paper we present and evaluate a cut consolidation technique and a dynamic sequencing protocol to accelerate the solution process. Furthermore, we present a parallelized implementation of the algorithm, which is developed within the COIN-OR framework. We show on a test set of 51 two-stage and 42 multi-stage problems, that both of the developed techniques lead to significant speed ups in computation time.

Keywords: Stochastic programming; Nested L-shaped method; Sequencing protocols; Cut consolidation (search for similar items in EconPapers)
Date: 2013
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (11)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0377221713003159
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:ejores:v:230:y:2013:i:1:p:143-156

DOI: 10.1016/j.ejor.2013.04.017

Access Statistics for this article

European Journal of Operational Research is currently edited by Roman Slowinski, Jesus Artalejo, Jean-Charles. Billaut, Robert Dyson and Lorenzo Peccati

More articles in European Journal of Operational Research from Elsevier
Bibliographic data for series maintained by Catherine Liu ().