Large Scale Optimization State of the Art
On February 15-17, 1993, a conference on Large Scale Optimization, hosted by the Center for Applied Optimization, was held at the University of Florida. The con ference was supported by the National Science Foundation, the U. S. Army Research Office, and
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Large Scale Optimization State of the Art
Edited by
W. W.Hager D. W. Hearn and P. M. Pardalos Center for Applied Optimization, University of Florida, Gainesville, U.S.A.
KLUWER ACADEMIC PUBLISHERS DORDRECHT I BOSTON I LONDON
Library of Congress Cataloging-in-Publication Data Large scale optimization: state of the art D.W. Hearn, and P.M. Pardalos. p. cm. Includes bibliographical references.
edited by W.W. Hager,
1. Mathematical optimization--Congresses. 2. Programming (Mathematics)--Congresses. I. Hager, W. W. (William W.) II. Hearn, D. W. !Donald W.) III. Pardalos, P. M. (Panos M.), 1954QA402.5.L355 1994 003' .71--dc20
ISBN-13: 978-1-4613-3634-1 DOl: 10.1007/978-1-4613-3632-7
94-7972
e-ISBN-13: 978-1-4613-3632-7
Published by Kluwer Academic Publishers, P.O. Box 17,3300 AA Dordrecht, The Netherlands. Kluwer Academic Publishers incorporates the publishing programmes of D. Reidel, Martinus Nijhoff, Dr W. Junk and MTP Press. Sold and distributed in the U.S.A. and Canada by Kluwer Academic Publishers, 101 Philip Drive, Norwell, MA 02061, U.S.A. In all other countries, sold and distributed by Kluwer Academic Publishers Group, P.O. Box 322, 3300 AU Dordrecht, The Netherlands.
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Sofkover reprint of the hardcover 1st edition 1994
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Contents Preface . ...................................................................... xiii Restarting Strategies for the DQA Algorithm.. . . . . . . . . . . . . . . . . . . . . . . . . . .. 1 Adam J. Berger, John M. Mulvey, and Andrzej Ruszczynski 1 Introduction................................................................. 1 2 Problem Formulation. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .. 3 2.1 Two-Stage Stochastic Linear Program .................................... 3 2.2· Extension to Multi-Stage Problems. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .. 5 3 The DQA Algorithm ......................................................... 6 4 Implementation............................................................... 8 4.1 Communication......................................................... 9 4.2 Hardware ................................................................ 9 4.3 STORM Model ......................................................... 10 4.4 Financial Asset Allocation. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .. 10 4.5 Numerical Results ...................................................... 11 4.6 Convergence and Speed-up .............................................. 11 4.7 Splitting Strategies. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .