Linear programming with stochastic elements: An on-line approach

DOI10.1016/S0898-1221(97)00066-7MaRDI QIDQ1368447zbMATH OpenFDO

Authors Shu-Cherng Fang, Sichong Guan

Publication date 28 September 1997

Published in Computers & Mathematics with Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/S0898-1221(97)00066-7

zbMATH Keywords

infeasible-interior-point methodKalman filtering

Mathematics Subject Classification ID

Linear programming (90C05) Stochastic programming (90C15)

Recommendations

• A global filtering algorithm for linear programming problems with stochastic elements
• Solving stochastic programming problems via Kalman filter and affine scaling
• A stochastic improvement method for stochastic programming
• Estimation of an optimal solution of a LP problem with unknown objective function

Cites work

• A new polynomial-time algorithm for linear programming
• A Surface of Analytic Centers and Primal-Dual Infeasible-Interior-Point Algorithms for Linear Programming
• An annoted bibliography on computational probability. I
• An Implementation of a Primal-Dual Interior Point Method for Linear Programming
• Computational experience with a primal-dual interior point method for linear programming
• Feasibility issues in a primal-dual interior-point method for linear programming
• scientific article; zbMATH DE number 439946 (Why is no real title available?)
• Infeasible-Interior-Point Primal-Dual Potential-Reduction Algorithms for Linear Programming
• On the Convergence of a Class of Infeasible Interior-Point Methods for the Horizontal Linear Complementarity Problem
• On the Superlinear and Quadratic Convergence of Primal-Dual Interior Point Linear Programming Algorithms
• Solving stochastic programming problems via Kalman filter and affine scaling
• Stochastic approximation methods for constrained and unconstrained systems
• Stochastic processes and filtering theory
• Superlinearly convergent infeasible-interior-point algorithm for degenerate LCP
• The Kalman filter

Cited in

(4)

• A global filtering algorithm for linear programming problems with stochastic elements
• scientific article; zbMATH DE number 1003270 (Why is no real title available?)
• scientific article; zbMATH DE number 4093183 (Why is no real title available?)
• Nonlinear optimization filters for stochastic time-varying convex optimization

This page was built for publication: Linear programming with stochastic elements: An on-line approach

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1368447)