Homogeneous self-dual algorithms for stochastic semidefinite programming (Q1935265)
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scientific article; zbMATH DE number 6136251
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| English | Homogeneous self-dual algorithms for stochastic semidefinite programming |
scientific article; zbMATH DE number 6136251 |
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Homogeneous self-dual algorithms for stochastic semidefinite programming (English)
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14 February 2013
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Implementations of homogeneous self-dual algorithms have been amongst the most successful to solve semidefinite programming (SDP) problems. The authors extend readily this class of algorithms to the case of stochastic SDP with a finite event space, since the equivalent deterministic SDP has a specific block structure.
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semidefinite programming
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interior point methods
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0.8948686718940735
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0.8854385614395142
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0.8015038967132568
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0.785191535949707
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