A Review on the Performance of Linear and Mixed Integer Two-Stage Stochastic Programming Software

This paper presents a tutorial on the state-of-the-art software for solution of two-stage (mixed-integer) linear stochastic programs and provides list designed this purpose. The methodologies are classified according to decomposition alternatives types variables in problem. We review fundamentals Benders decomposition, dual progressive hedging, as well possible improvements variants. also present extensive numerical results underline properties performance each algorithm using implementations, including DECIS, FORTSP, PySP, DSP. Finally, we discuss strengths weaknesses methodology propose future research directions.