A Planning Model with one Million Scenarios Solved on an Affordable Parallel Machine
Cahiers de recherche; 1998.11
|Abstract||Stochastic programs inevitably get huge if they are to model real life problems accurately. Nowadays only massive parallel machines can solve them but at a cost few decision markers can afford. We report here on a deterministic equivalent linear programming model of 1,111,112 constraints and 2,555,556 variables generated by GAMS. It is solved by an interior point based decomposition method in less than 3 hours on a cluster of 10 Linux PC's|
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|FRAGNIERE, Emmanuel, GONDZIO, Jacek, VIAL, Jean-Philippe. A Planning Model with one Million Scenarios Solved on an Affordable Parallel Machine. 1998 https://archive-ouverte.unige.ch/unige:5897|