5. Computational Grids for Stochastic Programming
Jeff Linderoth, Stephen J. Wright · Society for Industrial and Applied Mathematics eBooks · 2005
We describe computational grids and explain why they are well suited to solving stochastic programming problems. We discuss our experience in implementing a solver for twostage stochastic linear programs with recourse on such a platform and present computational results are presented to illustrate the scale of problems that can be solved. Finally, we discuss enhancements to these platforms that will equip them to solve stochastic optimization problems of other types.