Parallel algorithms to solve two-stage stochastic linear programs with robustness constraints

P. Beraldi*, L. Grandinetti, R. Musmanno, C. Triki

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

28 Citations (Scopus)


In this paper we present a parallel method for solving two-stage stochastic linear programs with restricted recourse. The mathematical model considered here can be used to represent several real-world applications, including financial and production planning problems, for which significant changes in the recourse solutions should be avoided because of their difficulty to be implemented. Our parallel method is based on a primal-dual path-following interior point algorithm, and exploits fruitfully the dual block-angular structure of the constraint matrix and the special block structure of the matrices involved in the restricted recourse model. We describe and discuss both message-passing and shared-memory implementations and we present the numerical results collected on the Origin2000.

Original languageEnglish
Pages (from-to)1889-1908
Number of pages20
JournalParallel Computing
Issue number13-14
Publication statusPublished - Dec 2000
Externally publishedYes

ASJC Scopus subject areas

  • Software
  • Theoretical Computer Science
  • Hardware and Architecture
  • Computer Networks and Communications
  • Computer Graphics and Computer-Aided Design
  • Artificial Intelligence


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