On solving large-scale multistage stochastic problems with a new specialized interior-point approach

A novel approach based on a specialized interior-point method (IPM) is presented for solving large-scale stochastic multistage continuous optimization problems, which represent the uncertainty in strategic multistage and operational two-stage scenario trees, the latter being rooted at the strategic nodes. This new solution approach considers a split-variable formulation of the strategic and operational structures, for … Read more