The Nested L-shaped method is used to solve two- and multi-stage linear stochastic programs with recourse, which can have integer variables on the first stage. In this paper we present and evaluate a cut consolidation technique and a dynamic sequencing protocol to accelerate the solution process. Furthermore, we present a parallelized implementation of the algorithm, which is developed within the COIN-OR framework. We show on a test set of 48 two-stage and 42 multi-stage problems, that both of the developed techniques lead to significant speed ups in computation time.
Citation
Accepted for publication, European Journal of Operational Research, April 2013. DOI: 10.1016/j.ejor.2013.04.017