A modified L-shaped method

作     者：Abaffy, J Allevi, E 

作者机构：Univ Econ Sci & Publ Adm Dept Comp Sci Budapest Hungary Univ Brescia Dept Quantitat Methods Brescia Italy 

出 版 物：《JOURNAL OF OPTIMIZATION THEORY AND APPLICATIONS》 (优选法理论与应用杂志)

年 卷 期：2004年第123卷第2期

页      面：255-270页

核心收录：

学科分类：1201[管理学-管理科学与工程(可授管理学、工学学位)] 07[理学] 070104[理学-应用数学] 0701[理学-数学] 

基　　金：Università degli studi di Bergamo Ministero dell’Istruzione, dell’Università e della Ricerca, MIUR 

主　　题：linear programming stochastic programming simplex method LU factorization L-shaped method ABS methods 

摘      要：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.