OTC Seminar Series ABSTRACTS
Title A parallel implementation of interior cutting plane algorithms for two stage stochastic linear programming
Author(s) Andrew Felt
Abstract

Recently, Ariyawansa and Jiang presented a family of interior point cutting plane algorithms for stochastic programming. These algorithms are interior point analogs of the well known Van Slyke and Wets algorithm, but have complexity (in total arithmetic operations) linear in the number of random realizations. We present results of a computational experiment with a parallel implementation of certain members of the family of algorithms proposed by Ariyawansa and Jiang, and outline a second experiment currently underway.

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