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Decomposition Algorithms for Stochastic Programming on a Computational Grid

Jeff Linderoth·Stephen Wright
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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.

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Jeff Linderoth, Stephen Wright. 2001-06-18. Decomposition Algorithms for Stochastic Programming on a Computational Grid. https://arxiv.org/abs/math/0106151

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