Solving Two-Stage Linear Stochastic Optimization Problems with Recourse on Computational Grids

Jeff Linderoth, Stephen Wright

This site contains codes and reports relevant to our ATR solver for two-stage stochastic linear programming problems with recourse. The solver uses the MW toolkit to run as a master-worker algorithm on a variety of distributed computational platforms. Most of our computational experience has been with the Condor system's implementation of MW.

ATR was developed as part of the metaneos project.

Technical Reports

A comprehensive description of the algorithm and its implementation:

A summary paper:

A report on empirical experiments performed with the code (see also this web site):

Codes

The MW libraries must also be installed, together with a computational grid infrastructure on which MW can execute, such as Condor.

Links

Here are some links to sites with computational stochastic programming data, in various states of repair.

Support

  • The Department of Energy, Office of Advanced Scientific Computing Research
  • The National Science Foundation Grant CDA-9726385.