Accession Number:

ADA234962

Title:

Large-Scale Stochastic Linear Programs: Importance Sampling and Benders Decomposition

Descriptive Note:

Technical rept.

Corporate Author:

STANFORD UNIV CA SYSTEMS OPTIMIZATION LAB

Personal Author(s):

Report Date:

1991-03-01

Pagination or Media Count:

16.0

Abstract:

The paper demonstrates how large-scale stochastic linear programs with recourse can be efficiently solved by using a blending of classical Benders decomposition with a relatively new technique called importance sampling. Numerical results of large-scale problems in the area of expansion planning of power systems and financial planning are presented.

Subject Categories:

  • Statistics and Probability
  • Operations Research

Distribution Statement:

APPROVED FOR PUBLIC RELEASE