Performance of a benchmark parallel implementation of the Van Slyke and Wets algorithm for two‐stage stochastic programs on the Sequent/Balance

Abstract

AbstractWe describe a benchmark parallel version of the Van Slyke and Wets (1969) algorithm for two‐stage stochastic programs and an implementation of that algorithm on the Sequent/Balance. We also report results of a numerical experiment using random test problems and our implementation. These performance results, to the best of our knowledge, are the first available for the Van Slyke and Wets (1969) algorithm on a parallel processor. They indicate that the benchmark implementation parallelizes well.