A PLanning Model with One Million Scenarios Solved on an Affordable Parallel Machine

E. Fragniere, J. Gondzio and J.-P. Vial

Working Papers from Ecole des Hautes Etudes Commerciales, Universite de Geneve-

Abstract: Stochastic programs inevitably get huge if they are to model real life problems accurately. Nowadays only massive parallel machines can solve them but at a cost few decision makers can afford. We report hereon a deterministic equivalent linear programming model of 1,111,112 constraints and 2,555,556 variables generated by GAMS. It is solved by an interior point based decomposition method in less than 3 hours on a cluster of 10 Linux PC's.

Keywords: OPTIMIZATION; MATHEMATICS (search for similar items in EconPapers)
JEL-codes: C61 C63 (search for similar items in EconPapers)
Pages: 21 pages
Date: 1998
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Persistent link: https://EconPapers.repec.org/RePEc:fth:ehecge:98.11

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