Performance of a benchmark parallel implementation of the Van Slyke and wets algorithm for two-stage stochastic programs on the sequent/balance

TLDR: A benchmark parallel version of the Van Slyke and Wets algorithm for two-stage stochastic programs and an implementation of that algorithm on the Sequent/Balance are described and demonstrated, indicating that the benchmark implementation parallelizes well and that even with the use of parallel processing, problems with random variables having large numbers of realizations can take prohibitively large amounts of computation for solution.

Abstract: We describe a benchmark parallel version of the Van Slyke and Wets 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 algorithm on a parallel processor. They indicate that the benchmark implementation parallelizes well, and that even with the use of parallel processing, problems with random variables having large numbers of realizations can take prohibitively large amounts of computation for solution. Thus, they demonstrate the need for exploiting both parallelization and approximation for the solution of stochastic programs. 15 refs., 18 tabs.