Journal
MATHEMATICAL PROGRAMMING
Volume 90, Issue 3, Pages 507-536Publisher
SPRINGER-VERLAG
DOI: 10.1007/PL00011433
Keywords
stochastic programming; large-scale linear programming; Barrier function; interior point methods; Benders decomposition; complexity
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An algorithm incorporating the Logarithmic barrier into the Benders decomposition technique is proposed for solving two-stage stochastic programs. Basic properties concerning the existence and uniqueness of the solution and the underlying path are studied. When applied to problems with a finite number of scenarios, the algorithm is shown to converge globally and to run in polynomial-time.
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