Decomposition algorithms for stochastic programming on a computational grid.
Abstract
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.
- Authors:
- Publication Date:
- Research Org.:
- Argonne National Lab. (ANL), Argonne, IL (United States)
- Sponsoring Org.:
- USDOE Office of Science (SC); National Science Foundation (NSF); OUS
- OSTI Identifier:
- 949263
- Report Number(s):
- ANL/MCS/JA-39324
TRN: US201012%%62
- DOE Contract Number:
- DE-AC02-06CH11357
- Resource Type:
- Journal Article
- Journal Name:
- Comput. Optimization Appl.
- Additional Journal Information:
- Journal Volume: 24; Journal Issue: 2003
- Country of Publication:
- United States
- Language:
- ENGLISH
- Subject:
- 99 GENERAL AND MISCELLANEOUS//MATHEMATICS, COMPUTING, AND INFORMATION SCIENCE; ALGORITHMS; APPROXIMATIONS; IMPLEMENTATION; LINEAR PROGRAMMING; PROGRAMMING; COMPUTERS
Citation Formats
Linderoth, J, Wright, S, Mathematics and Computer Science, and Axioma Inc. Decomposition algorithms for stochastic programming on a computational grid.. United States: N. p., 2003.
Web. doi:10.1023/A:1021858008222.
Linderoth, J, Wright, S, Mathematics and Computer Science, & Axioma Inc. Decomposition algorithms for stochastic programming on a computational grid.. United States. https://doi.org/10.1023/A:1021858008222
Linderoth, J, Wright, S, Mathematics and Computer Science, and Axioma Inc. 2003.
"Decomposition algorithms for stochastic programming on a computational grid.". United States. https://doi.org/10.1023/A:1021858008222.
@article{osti_949263,
title = {Decomposition algorithms for stochastic programming on a computational grid.},
author = {Linderoth, J and Wright, S and Mathematics and Computer Science and Axioma Inc.},
abstractNote = {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.},
doi = {10.1023/A:1021858008222},
url = {https://www.osti.gov/biblio/949263},
journal = {Comput. Optimization Appl.},
number = 2003,
volume = 24,
place = {United States},
year = {Wed Jan 01 00:00:00 EST 2003},
month = {Wed Jan 01 00:00:00 EST 2003}
}
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