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Title

IMPLEMENTATION OF PARALLEL AUGMENTED LAGRANGIAN METHOD WITHIN L-SHAPED METHOD FOR TWO-STAGE STOCHASTIC LINEAR PROGRAMMING

Pages

 Start Page | End Page

Abstract

 STOCHASTIC PROGRAMMING IS A TECHNIQUE FOR OPTIMIZATION IN THE PRESENCE OF UNCERTAINTY WHICH TYPICALLY LEADS TO VERY LARGE PROBLEM SIZES. WE DEVELOP A PARALLEL AUGMENTED LAGRANGIAN METHOD WITHIN THE L-SHAPED METHOD FOR SOLVING TWO-STAGE STOCHASTIC LINEAR PROGRAMS WITH COMPLETE RECOURSE. THIS METHOD ADDS OPTIMALITY CUTS GENERATED FROM SOLVING UNCONSTRAINED SUB PROBLEMS IN PARALLEL. IN THIS VERSION OF L-SHAPED METHOD, MASTER AND SUB-PROBLEMS ARE PIECEWISE QUADRATIC UNCONSTRAINED PROBLEMS. THE PARALLEL METHOD IS IMPLEMENTED IN MAT LAB USING PARALLEL COMPUTING TOOLBOX FOR INTER PROCESSOR DATA EXCHANGE. THE PERFORMANCE OF THE METHOD IS ILLUSTRATED ON A PARALLEL CLUSTER USING 16 PROCESSORS. RESULTS OF UNIPROCESSOR AND MULTIPROCESSOR COMPUTATIONS ARE PRESENTED.

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