Decomposition based interior point methods for two-stage stochastic convex quadratic programs with recourse

DOI10.1287/OPRE.1080.0659MaRDI QIDQ3100401zbMATH OpenOpenAlexFDO

Authors 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

two-stage stochastic programminglarge-scale optimizationBender's decompositionnondifferentiable convex optimizationlinear-quadratic programming

Mathematics Subject Classification ID

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

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Cited in

(13)

• Fast inexact decomposition algorithms for large-scale separable convex optimization
• The parallel solution of dense saddle-point linear systems arising in stochastic programming
• A preconditioning technique for Schur complement systems arising in stochastic optimization
• Decomposition-based interior point methods for stochastic quadratic second-order cone programming
• Continuity and stability of two-stage stochastic programs with quadratic continuous recourse
• Decomposition‐Based Interior Point Methods for Two‐Stage Stochastic Semidefinite Programming
• Self-concordance and decomposition-based interior point methods for the two-stage stochastic convex optimization problem
• SICOpt: Solution approach for nonlinear integer stochastic programming problems
• On proximal augmented Lagrangian based decomposition methods for dual block-angular convex composite programming problems
• Logarithmic-barrier decomposition interior-point methods for stochastic linear optimization in a Hilbert space
• A path-following slgorithm for stochastic quadratically constrained convex quadratic programming in a Hilbert space
• Logarithmic barrier decomposition-based interior point methods for stochastic symmetric programming
• Convergence of a weighted barrier algorithm for stochastic convex quadratic semidefinite optimization

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