A Note on Preprocessing via Fourier-Motzkin Elimination in Two-Stage Stochastic Programming
Please always quote using this URN: urn:nbn:de:0297-zib-2423
- Preprocessing in two-stage stochastic programming is considered from the viewpoint of Fourier-Motzkin elimination. Although of exponential complexity in general, Fourier-Motzkin elimination is shown to provide valuable insights into specific topics such as solving integer recourse stochastic programs or verifying stability conditions. Test runs with the computer code PORTA [1994] are reported.
Author: | Rüdiger Schultz |
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Document Type: | ZIB-Report |
Date of first Publication: | 1996/09/24 |
Series (Serial Number): | ZIB-Report (SC-96-32) |
ZIB-Reportnumber: | SC-96-32 |
Published in: | Appeared in: Stochastic Programming Methods and Technical Applications. K. Marti, P. Kall (eds.) Springer 1998. Lecture Notes in Economics and Mathematical Systems, vol. 458, pp. 208-222 |