In this paper, we have proposed new solution methods to solve TSLP(two-stage stochastic linear programming) problems. One solution method is to combine the analytic center concept with Benders' decomposition strategy to solve TSLP problems. Another me...
In this paper, we have proposed new solution methods to solve TSLP(two-stage stochastic linear programming) problems. One solution method is to combine the analytic center concept with Benders' decomposition strategy to solve TSLP problems. Another method is to apply an idea proposed by Geoffrion and Graves to modify the L-shaped algorithm and the analytic center algorithm. We have compared the numerical performance of the proposed algorithms to that of the existing algorithm, the L-shaped algorithm. To effectively compare those algorithms. we have computational experiments for seven test problems.