Birge and Qi method for three-stage stochastic programs using IPM

Abstract

One approach how to solve a linear optimization is based on interior point method. This method requires the solution of large linear system equations. A special matrix factorization techniques that exploit the structure of the constraint matrix has been suggested for its computation. The method of Birge and Qi has been reported as efficient, stable and accurate for two-stage stochastic programs. In this report we present a generalization of this method for three-stage stochastic programs. © 2002 Springer-Verlag Berlin Heidelberg.