An Extension of the DQA Algorithm to Convex Stochastic Programs

DOI10.1137/0804043zbMath0830.90112OpenAlexW2034135190MaRDI QIDQ4321308

Ruszczyński, Andrzej, John M. Mulvey, A. J. Berger

Publication date: 14 January 1996

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

Full work available at URL: https://doi.org/10.1137/0804043

zbMATH Keywords

primal-dual interior-point algorithm

Mathematics Subject Classification ID

Convex programming (90C25) Nonlinear programming (90C30) Stochastic programming (90C15) Distributed algorithms (68W15)

Related Items (10)

On augmented Lagrangian decomposition methods for multistage stochastic programs ⋮ Separable approximations and decomposition methods for the augmented Lagrangian ⋮ Financial planning via multi-stage stochastic optimization. ⋮ An augmented Lagrangian method for distributed optimization ⋮ Multi-period stochastic portfolio optimization: block-separable decomposition ⋮ An inexact Lagrange-Newton method for stochastic quadratic programs with recourse ⋮ Multistage quadratic stochastic programming ⋮ Dynamic models for fixed-income portfolio management under uncertainty ⋮ Strategic financial risk management and operations research ⋮ A primal-dual decomposition algorithm for multistage stochastic convex programming

Uses Software

• LOQO
• PVM

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