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MSLiP: A computer code for the multistage stochastic linear programming problem. (English) Zbl 0701.90070
Summary: 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.

MSC:
90C15 Stochastic programming
90C05 Linear programming
65K05 Numerical mathematical programming methods
90-08 Computational methods for problems pertaining to operations research and mathematical programming
Software:
MINOS; MSLiP
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