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.Comment: 44 page
