Abstract
This paper describes an efficient implementation of a nested decomposition algorithm for the multistage stochastic linear programming problem. Many of the computational tricks developed for deterministic staircase problems are adapted to the stochastic setting and their effect on computation times is investigated. The computer code supports an arbitrary number of time periods and various types of random structures for the input data. Numerical results compare the performance of the algorithm to MINOS 5.0.
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Gassmann, H.I. Mslip: A computer code for the multistage stochastic linear programming problem. Mathematical Programming 47, 407–423 (1990). https://doi.org/10.1007/BF01580872
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DOI: https://doi.org/10.1007/BF01580872