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Efficient solution of two-stage stochastic linear programs using interior point methods
1992
Computational optimization and applications
Solving deterministic equivalent formulations of two-stage stochastic linear programs using interior point methods may be computationally diflicult due to the need to factorize quite dense search direction matrices (e.g., AAT). Several methods for improving the algorithmic efficiency of interior point algorithms by reducing the density of these matrices have been proposed in the literature. Reformulating the program decreases the effort required to find a search direction, but at the expense of
doi:10.1007/bf00249637
fatcat:jmxh6p7ctbe3jm433s43xw5z6u