A Log-Barrier method with Benders decomposition for solving two-stage stochastic linear programs

Abstract.An algorithm incorporating the logarithmic barrier into the Benders decomposition technique is proposed for solving two-stage stochastic programs. Basic properties concerning the existence and uniqueness of the solution and the underlying path are studied. When applied to problems with a finite number of scenarios, the algorithm is shown to converge globally and to run in polynomial-time.

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