SENSITIVITY METHOD FOR BASIS INVERSE REPRESENTATION IN MULTISTAGE STOCHASTIC LINEAR-PROGRAMMING PROBLEMS

被引：4

作者：

GONDZIO, J ^{[1
]}

RUSZCZYNSKI, A ^{[1
]}

机构：

[1] WARSAW POLYTECH INST,INST AUTOMAT CONTROL,WARSAW,POLAND

来源：

JOURNAL OF OPTIMIZATION THEORY AND APPLICATIONS | 1992年 / 74卷 / 02期

关键词：

LINEAR PROGRAMMING; STOCHASTIC PROGRAMMING; SIMPLEX METHOD;

D O I：

10.1007/BF00940892

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：

A version of the simplex method for solving stochastic linear control problems is presented. The method uses a compact basis inverse representation that extensively exploits the original problem data and takes advantage of the supersparse structure of the problem. Computational experience indicates that the method is capable of solving large problems.

引用

页码：221 / 242

页数：22

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