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A Modified L-Shaped Method

Author

Listed:
  • J. Abaffy

    (University of Economic Science and Public Administration)

  • E. Allevi

    (University of Brescia)

Abstract

This paper presents a modified version of the L-shaped method (Refs. 1–5), used to solve two-stage stochastic linear programs with fixed recourse, by employing the implicit LX method and the implicit LP method (Refs. 6–9) of the ABS class of methods. By exploiting the properties and special structure of the ABS class and applying these to the simplex method, the number of arithmetic operations is greatly decreased.

Suggested Citation

  • J. Abaffy & E. Allevi, 2004. "A Modified L-Shaped Method," Journal of Optimization Theory and Applications, Springer, vol. 123(2), pages 255-270, November.
    • Handle: RePEc:spr:joptap:v:123:y:2004:i:2:d:10.1007_s10957-004-5148-y
    DOI: 10.1007/s10957-004-5148-y
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    Cited by:

    1. Ketabchi, Saeed & Behboodi-Kahoo, Malihe, 2015. "Augmented Lagrangian method within L-shaped method for stochastic linear programs," Applied Mathematics and Computation, Elsevier, vol. 266(C), pages 12-20.

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