Decomposition Based Interior Point Methods for Two-Stage Stochastic Convex Quadratic Programs with Recourse

DOI10.1287/opre.1080.0659zbMath1226.90136OpenAlexW2146818753MaRDI QIDQ3100401

Sanjay Mehrotra, M. Gokhan Özevin

Publication date: 24 November 2011

Published in: Operations Research (Search for Journal in Brave)

Full work available at URL: http://edoc.hu-berlin.de/18452/8970

zbMATH Keywords

large-scale optimizationtwo-stage stochastic programmingBender's decompositionnondifferentiable convex optimizationlinear-quadratic programming

Mathematics Subject Classification ID

Convex programming (90C25) Quadratic programming (90C20) Stochastic programming (90C15) Interior-point methods (90C51)

Related Items (10)

Decomposition-based interior point methods for stochastic quadratic second-order cone programming ⋮ On proximal augmented Lagrangian based decomposition methods for dual block-angular convex composite programming problems ⋮ Convergence of a weighted barrier algorithm for stochastic convex quadratic semidefinite optimization ⋮ A preconditioning technique for Schur complement systems arising in stochastic optimization ⋮ Unnamed Item ⋮ Logarithmic barrier decomposition-based interior point methods for stochastic symmetric programming ⋮ Fast inexact decomposition algorithms for large-scale separable convex optimization ⋮ The parallel solution of dense saddle-point linear systems arising in stochastic programming ⋮ SICOpt: Solution approach for nonlinear integer stochastic programming problems ⋮ Continuity and stability of two-stage stochastic programs with quadratic continuous recourse

Uses Software

• SUTIL

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