A PLanning Model with One Million Scenarios Solved on an Affordable Parallel Machine

Stochastic programs inevitably get huge if they are to model real life problems accurately. Nowadays only massive parallel machines can solve them but at a cost few decision makers can afford. We report hereon a deterministic equivalent linear programming model of 1,111,112 constraints and 2,555,556 variables generated by GAMS. It is solved by an interior point based decomposition method in less than 3 hours on a cluster of 10 Linux PC's.

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Year of publication:	1998
Authors:	Fragniere, E. ; Gondzio, J. ; Vial, J.-P.
Institutions:	Geneva School of Economics and Management, Université de Genève
Subject:	OPTIMIZATION \| MATHEMATICS

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Series:	Ecole des Hautes Etudes Commerciales, Universite de Geneve-.
Type of publication:	Book / Working Paper
Notes:	21 pages
Classification:	C61 - Optimization Techniques; Programming Models; Dynamic Analysis ; C63 - Computational Techniques
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005478994