A Lagrangian dual method with self-concordant barriers for multi-stage stochastic convex programming

DOI10.1007/s10107-003-0471-xzbMath1058.90043OpenAlexW2003492573MaRDI QIDQ1769066

Gongyun Zhao

Publication date: 17 March 2005

Published in: Mathematical Programming. Series A. Series B (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10107-003-0471-x

zbMATH Keywords

interior point methodsself-concordant barrierpolynomial-time complexitylagrangian dualmulti-stage stochastic nonlinear programming

Mathematics Subject Classification ID

Convex programming (90C25) Large-scale problems in mathematical programming (90C06) Abstract computational complexity for mathematical programming problems (90C60) Stochastic programming (90C15) Interior-point methods (90C51)

Related Items (16)

Parallelizable preprocessing method for multistage stochastic programming problems ⋮ Moreau-Yosida regularization of Lagrangian-dual functions for a class of convex optimization problems ⋮ A fast dual proximal-gradient method for separable convex optimization with linear coupled constraints ⋮ Interior-point Lagrangian decomposition method for separable convex optimization ⋮ Combining Lagrangian decomposition and excessive gap smoothing technique for solving large-scale separable convex optimization problems ⋮ A stochastic model for risk management in global supply chain networks ⋮ An inexact interior-point Lagrangian decomposition algorithm with inexact oracles ⋮ Logarithmic-Barrier Decomposition Interior-Point Methods for Stochastic Linear Optimization in a Hilbert Space ⋮ Recourse-based stochastic nonlinear programming: properties and Benders-SQP algorithms ⋮ Unnamed Item ⋮ Two stochastic optimization algorithms for convex optimization with fixed point constraints ⋮ Primal interior-point decomposition algorithms for two-stage stochastic extended second-order cone programming ⋮ Path-following gradient-based decomposition algorithms for separable convex optimization ⋮ On the implementation of a log-barrier progressive hedging method for multistage stochastic programs ⋮ Fast inexact decomposition algorithms for large-scale separable convex optimization ⋮ An interior-point smoothing technique for Lagrangian relaxation in large-scale convex programming†

Uses Software

• MSLiP

Cites Work

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