|edoc-Server der Humboldt-Universität zu Berlin|
Jeff Linderoth, Argonne National Laboratory|
Stephen Wright, Argonne National Laboratory
|Title:||Decomposition algorithms for stochastic programming on a computational grid|
|Date of Acceptance:||26.05.2001|
Stochastic Programming E-Print Series |
|Editors:||Julie L. Higle; Werner Römisch; Surrajeet Sen|
|Complete Preprint:||pdf (urn:nbn:de:kobv:11-10058173)|
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|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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