Decomposition algorithms for stochastic programming on a computational grid.

Journal Article · Wed Jan 01 00:00:00 EST 2003 · Comput. Optimization Appl.

DOI:https://doi.org/10.1023/A:1021858008222· OSTI ID:949263

Linderoth, J; Wright, S

We describe algorithms for two-stage stochastic linear programming with recourse and their implementation on a grid computing platform. In particular, we examine serial and asynchronous versions of the L-shaped method and a trust-region method. The parallel platform of choice is the dynamic, heterogeneous, opportunistic platform provided by the Condor system. The algorithms are of master-worker type (with the workers being used to solve second-stage problems), and the MW runtime support library (which supports master-worker computations) is key to the implementation. Computational results are presented on large sample-average approximations of problems from the literature.

• Research Organization: Argonne National Lab. (ANL), Argonne, IL (United States)
• Sponsoring Organization: USDOE Office of Science (SC); National Science Foundation (NSF); OUS
• DOE Contract Number: DE-AC02-06CH11357
• OSTI ID: 949263
• Report Number(s): ANL/MCS/JA-39324; TRN: US201012%%62
• Journal Information: Comput. Optimization Appl., Vol. 24, Issue 2003
• Country of Publication: United States
• Language: ENGLISH

Related Subjects

99 GENERAL AND MISCELLANEOUS//MATHEMATICS, COMPUTING, AND INFORMATION SCIENCE
ALGORITHMS
APPROXIMATIONS
IMPLEMENTATION
LINEAR PROGRAMMING
PROGRAMMING
COMPUTERS