Decomposition‐Based Interior Point Methods for Two‐Stage Stochastic Semidefinite Programming

DOI10.1137/050622067MaRDI QIDQ5444288zbMATH OpenOpenAlexFDO

Authors Sanjay Mehrotra, M. Gokhan Özevin

Publication date 25 February 2008

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

Full work available at URL https://doi.org/10.1137/050622067

zbMATH Keywords

Benders decompositioninterior point methodsprimal methodssemidefinite programmingstochastic programming

Mathematics Subject Classification ID

Stochastic programming (90C15) Semidefinite programming (90C22) Interior-point methods (90C51)

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Cited in

(24)

• Volumetric barrier decomposition algorithms for stochastic quadratic second-order cone programming
• Inexact SA method for constrained stochastic convex SDP and application in Chinese stock market
• Logarithmic barrier decomposition-based interior point methods for stochastic symmetric programming
• On risk-averse stochastic semidefinite programs with continuous recourse
• Quantitative stability of two-stage distributionally robust risk optimization problem with full random linear semi-definite recourse
• A decomposition-based crash-start for stochastic programming
• Convergence of a weighted barrier algorithm for stochastic convex quadratic semidefinite optimization
• Decomposition-based interior point methods for stochastic quadratic second-order cone programming
• A class of polynomial volumetric barrier decomposition algorithms for stochastic semidefinite programming
• Decomposition based interior point methods for two-stage stochastic convex quadratic programs with recourse
• Self-concordance and decomposition-based interior point methods for the two-stage stochastic convex optimization problem
• On the Implementation of Interior Point Decomposition Algorithms for Two-Stage Stochastic Conic Programs
• A preconditioning technique for Schur complement systems arising in stochastic optimization
• Primal interior-point decomposition algorithms for two-stage stochastic extended second-order cone programming
• Logarithmic-barrier decomposition interior-point methods for stochastic linear optimization in a Hilbert space
• A preliminary set of applications leading to stochastic semidefinite programs and chance-constrained semidefinite programs
• A log-barrier method with Benders decomposition for solving two-stage stochastic linear programs
• On proximal augmented Lagrangian based decomposition methods for dual block-angular convex composite programming problems
• A path-following slgorithm for stochastic quadratically constrained convex quadratic programming in a Hilbert space
• A barrier Lagrangian dual method for multi-stage stochastic convex semidefinite optimization
• Algebraic-based primal interior-point algorithms for stochastic infinity norm optimization
• Stochastic second-order cone programming: applications models
• Two-stage stochastic variational inequality arising from stochastic programming
• A parallel interior point decomposition algorithm for block angular semidefinite programs

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