%0 Journal Article
%T Decomposition Algorithms for Stochastic Programming on a Computational Grid
%A Jeff Linderoth
%A Stephen Wright
%J Mathematics
%D 2001
%I arXiv
%X We describe algorithms for two-stage stochastic linear programming with recourse and their implementation on a grid computing platform. In particular, we examine serial and asynchronous versions of the L-shaped method and a trust-region method. The parallel platform of choice is the dynamic, heterogeneous, opportunistic platform provided by the Condor system. The algorithms are of master-worker type (with the workers being used to solve second-stage problems, and the MW runtime support library (which supports master-worker computations) is key to the implementation. Computational results are presented on large sample average approximations of problems from the literature.
%U http://arxiv.org/abs/math/0106151v1