|edoc-Server der Humboldt-Universität zu Berlin|
Sanjay Mehrotra, Northwestern University, Evanston|
M. Gokhan Ozevin, Northwestern University, Evanston
|Title:||Convergence Analysis of a Weighted Barrier Decomposition Algorithm for Two Stage Stochastic Programming|
|Date of Acceptance:||05.07.2008|
Stochastic Programming E-Print Series |
|Editors:||Julie L. Higle; Werner Römisch; Surrajeet Sen|
|Complete Preprint:||pdf (urn:nbn:de:kobv:11-10090107)|
|Keywords (eng):||two stage stochastic programming, linear-quadratic programming, Bender's decomposition, lagre scale optimization, nondifferentiable convex optimization|
|Appeared in:||Technical Report 07 (2007)|
|Metadata export: To export the complete metadata set as Endote or Bibtex format please click to the appropriate link.||Endnote Bibtex|
|print on demand: If you click on this icon you can order a print copy of this publication.|
|Mehrotra and Ozevin  computationally found that a weighted primal barrier decomposition algorithm signiﬁcantly outperforms the barrier decomposition proposed and analyzed in [11; 6; 8]. This paper provides a theoretical foundation for the weighted barrier decomposition algorithm (WBDA) in . Although the worst case analysis of the WBDA achieves a ﬁrst-stage iteration complexity bound that is worse than the bound shown for the decomposition algorithms of  and [6; 8], under a probabilistic assumption we show that the worst case iteration complexity of WBDA is independent of the number of scenarios in the problem. The probabilistic assumption uses a novel concept of self-concordant random variables.|
These data concerning access statistics for individual documents
have been compiled using the webserver log files aggregated by AWSTATS.
They refer to a monthly access count to the full text documents as well as to the entry page.
As for format versions of a document which consist of multiple files (such as HTML) the highest monthly access number to one of the files (chapters) is shown respectivly.
To see the detailled access numbers please move the mouse pointer over the single bars of the digaram.
Gesamtzahl der Zugriffe seit Jul 2011: