A class of volumetric barrier decomposition algorithms for stochastic quadratic programming

DOI10.1016/j.amc.2006.08.171zbMath1117.65084OpenAlexW2039798890MaRDI QIDQ884639

Yuntao Zhu, Ariyawansa, K. A.

Publication date: 6 June 2007

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.amc.2006.08.171

zbMATH Keywords

algorithmsconvergencestochastic programmingquadratic programmingdecompositionpolynomial complexityself-concordancevolumetric barrier

Mathematics Subject Classification ID

Numerical mathematical programming methods (65K05) Quadratic programming (90C20) Stochastic programming (90C15) Complexity and performance of numerical algorithms (65Y20)

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Cites Work

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• A Lagrangian finite generation technique for solving linear-quadratic problems in stochastic programming
• A log-barrier method with Benders decomposition for solving two-stage stochastic linear programs