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

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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)

Cited In (3)

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

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