A new interior-point approach for large separable convex quadratic two-stage stochastic problems

DOI10.1080/10556788.2020.1841190zbMath1502.90195OpenAlexW3095908739MaRDI QIDQ5043842

Paula de la Lama-Zubirán, Jordi Castro

Publication date: 6 October 2022

Published in: Optimization Methods and Software (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10556788.2020.1841190

zbMATH Keywords

stochastic optimizationlarge-scale optimizationinterior-point methodsstructured problems

Mathematics Subject Classification ID

Large-scale problems in mathematical programming (90C06) Stochastic programming (90C15) Interior-point methods (90C51)

Related Items (1)

On solving large-scale multistage stochastic optimization problems with a new specialized interior-point approach

Uses Software

• HSL
• CPLEX
• Ipopt
• IPM
• NEOS

Cites Work

• Unnamed Item
• Unnamed Item
• Large-scale optimization with the primal-dual column generation method
• Clustering-based preconditioning for stochastic programs
• Interior point methods 25 years later
• Quadratic regularizations in an interior-point method for primal block-angular problems
• Solving nonlinear portfolio optimization problems with the primal-dual interior point method
• Partitioning procedures for solving mixed-variables programming problems
• Stochastic integer programming: general models and algorithms
• Interior-point methods
• Algorithmic innovations and software for the dual decomposition method applied to stochastic mixed-integer programs
• Improving an interior-point approach for large block-angular problems by hybrid preconditioners
• A computational study of a solver system for processing two-stage stochastic LPs with enhanced Benders decomposition
• A stochastic programming approach for supply chain network design under uncertainty
• On the implementation of an interior-point filter line-search algorithm for large-scale nonlinear programming
• An interior-point approach for primal block-angular problems
• Interior-point solver for convex separable block-angular problems
• On a New Collection of Stochastic Linear Programming Test Problems
• Introduction to Stochastic Programming
• The Decomposition Algorithm for Linear Programs
• The SMPS format explained
• Formulating Two-Stage Stochastic Programs for Interior Point Methods
• Block Sparse Cholesky Algorithms on Advanced Uniprocessor Computers
• A Specialized Interior-Point Algorithm for Multicommodity Network Flows

This page was built for publication: A new interior-point approach for large separable convex quadratic two-stage stochastic problems