A class of volumetric barrier decomposition algorithms for stochastic quadratic programming (Q884639)
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scientific article; zbMATH DE number 5162023
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| English | A class of volumetric barrier decomposition algorithms for stochastic quadratic programming |
scientific article; zbMATH DE number 5162023 |
Statements
A class of volumetric barrier decomposition algorithms for stochastic quadratic programming (English)
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6 June 2007
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A class of volumetric barrier decomposition algorithms for solving two-stage stochastic quadratic programs (SQP) with recourse is derived. It is shown that certain members of the class of algorithms have polynomial complexity. Initially, a volumetric barrier for SQP is introduced. Then, it is shown that the set of barrier functions for positive values of the barrier parameter comprises a self-concordant family. Based on this property a class of volumetric barrier decomposition algorithms is presented. Finally, a convergence and complexity analysis of certain members of this class of algorithms is presented.
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quadratic programming
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stochastic programming
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volumetric barrier
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self-concordance
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decomposition
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algorithms
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polynomial complexity
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convergence
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0.9713705
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0.9020976
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0.8839013
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0.87898207
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