Convergence of a weighted barrier decomposition algorithm for two-stage stochastic programming with discrete support

DOI10.1137/080741380zbMATH Open1211.90149OpenAlexW2005530272MaRDI QIDQ3083296FDOQ3083296

Authors Sanjay Mehrotra, M. Gokhan Özevin

Publication date 21 March 2011

Published in SIAM Journal on Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/080741380

zbMATH Keywords

large scale optimizationBenders decompositionnondifferentiable convex optimizationlinear-quadratic programming

Mathematics Subject Classification ID

Convex programming (90C25) Interior-point methods (90C51) Stochastic programming (90C15) Sensitivity, stability, parametric optimization (90C31)

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Cited in

(3)

• Convergence of a weighted barrier algorithm for stochastic convex quadratic semidefinite optimization
• A class of volumetric barrier decomposition algorithms for stochastic quadratic programming
• Nonconvex sensitivity-based generalized Benders decomposition

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