On the implementation of a log-barrier progressive hedging method for multistage stochastic programs

DOI10.1016/j.cam.2009.12.050zbMath1189.65127OpenAlexW2062064054MaRDI QIDQ964982

Kim-Chuan Toh, Xin-Wei Liu, Gongyun Zhao

Publication date: 21 April 2010

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

Full work available at URL: https://doi.org/10.1016/j.cam.2009.12.050

zbMATH Keywords

numerical experimentslog-barrier methodprogressive hedging methodLagrangian dualpolynomial-time complexitymultistage stochastic programs

Mathematics Subject Classification ID

Numerical mathematical programming methods (65K05) Stochastic programming (90C15)

Uses Software

• MSLiP

Cites Work

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