Log-barrier method for two-stage quadratic stochastic programming

DOI10.1016/j.amc.2004.04.095zbMath1071.65083OpenAlexW1967209897MaRDI QIDQ1774842

Gyeong-Mi Cho

Publication date: 4 May 2005

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.amc.2004.04.095

zbMATH Keywords

convergenceComplexityPolynomial algorithmLog-barrier methodTwo-stage quadratic stochastic programming

Mathematics Subject Classification ID

Numerical mathematical programming methods (65K05) Quadratic programming (90C20) Stochastic programming (90C15) Complexity and performance of numerical algorithms (65Y20)

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Cites Work

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• Newton-type methods for stochastic programming.
• Newton's method for quadratic stochastic programs with recourse
• A predictor-corrector method for extended linear-quadratic programming
• Introduction to Stochastic Programming
• State-of-the-Art-Survey—Stochastic Programming: Computation and Applications
• Random test problems and parallel methods for quadratic programs and quadratic stochastic programs^∗
• A log-barrier method with Benders decomposition for solving two-stage stochastic linear programs

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