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Multistage Stochastic Linear Programming on a Computational Grid
Optimization| Speaker: | Prof. Jeff Linderoth, Lehigh University |
| Location: | 2112 MSB |
| Start time: | Fri, Apr 14 2006, 12:10PM |
Description
We will describe an implementation of a nested-decomposition-based,
multi-stage stochastic linear programming solver running on a computing
platform known as a computational grid. The aim of the work is to
create a "Monster Solver" capable of solving instances orders of
magnitude larger than currently possible. We begin by reviewing the
nested-decomposition algorithm, and then introduce the concept of a
Computational Grid. Algorithmic mechanisms for dealing with the
shortcomings of a Computational Grid are discussed. Computational
results revealing the power of the approach and the platform will be
given for an instance of a telecommunication capacity planning problem.
This is joint work with Jierui Shen.