Distributed computing system for multi-stage stochastic programs Conference Paper

abstract

• We design a column generation-based distributed computing system for multi-stage stochastic programming problems and present the associated system implementation. One of the key considerations in our design is the ability of a system to tolerate processor failures. The column generation approach is very well suited for fault-tolerance in both master as well as subproblems. The computational experiments are based on a large-scale real-world problem arising in power portfolio optimization. The deterministic equivalent LP for this instance with 200 scenarios has over one million constraints. Our computational results illustrate the effectiveness of this approach.

authors

• Ntaimo, Lewis

published proceedings

• IIE Annual Conference and Exhibition 2004

author list (cited authors)

• Yu, L., & Ntaimo, L.

complete list of authors

• Yu, L||Ntaimo, L

publication date

• December 2004

start page

• 189

end page

• 194