Log-barrier method for two-stage quadratic stochastic programming
type: Item
instance of: scholarly article
title: Log-barrier method for two-stage quadratic stochastic programming
zbMATH Open document ID: 1071.65083
author: Gyeong-Mi Cho
published in: Applied Mathematics and Computation
publication date: 2005-05-04T00:00:00Z
review text: The author consider the following two-stage quadratic stochastic programs \[ \min c^Tx+ \textstyle{{1\over 2}} x^T Px+ \rho(x)\quad\text{s.t. }Ax= b,\quad x\geq 0, \] where \(P\) is symmetric positive definite and \(\rho(x)\) is the recourse function defined by \(\rho(x)= E[\rho(x,\widetilde\zeta)]\), where, for each realization \(\zeta\in \Xi\) \[ \rho(x,\zeta):= \min q(\zeta)^T y(\zeta)+\textstyle{{1\over 2}}y(\zeta)^T D(\zeta) y(\zeta)\,\text{ s.t. }T(\zeta)x+ W(\zeta) y(\zeta)= h(\zeta),\;y(\zeta)\geq 0. \] For the solution, a log-barrier algorithm is presented. Properties of the given algorithm are discussed and the convergence and complexity of the given algorithm is analysed.
reviewed by: Hans Benker
Mathematics Subject Classification ID: 65K05
Mathematics Subject Classification ID: 90C15
Mathematics Subject Classification ID: 90C20
Mathematics Subject Classification ID: 65Y20
zbMATH DE Number: 2165259
zbMATH Keywords: Two-stage quadratic stochastic programming
zbMATH Keywords: Log-barrier method
zbMATH Keywords: Complexity
zbMATH Keywords: Polynomial algorithm
zbMATH Keywords: convergence
MaRDI profile type: Publication
full work available at URL: j.amc.2004.04.095
OpenAlex ID: W1967209897
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DOI: 10.1016/J.AMC.2004.04.095
description: scientific article; zbMATH DE number 2165259