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2004-04-20Buch DOI: 10.18452/8318
Decomposition-based interior point methods for two-stage stochastic convex quadratic programs with recourse
dc.contributor.authorMehrotra, Sanjay
dc.contributor.authorOzevin, M. Gokhan
dc.contributor.editorHigle, Julie L.
dc.contributor.editorRömisch, Werner
dc.contributor.editorSen, Surrajeet
dc.date.accessioned2017-06-16T19:58:37Z
dc.date.available2017-06-16T19:58:37Z
dc.date.created2006-03-02
dc.date.issued2004-04-20
dc.date.submitted2004-01-21
dc.identifier.urihttp://edoc.hu-berlin.de/18452/8970
dc.description.abstractZhao [28] recently showed that the log barrier associated with the recourse function of two-stage stochastic linear programs behaves as a strongly self-concordant barrier and forms a self concordant family on the first stage solutions. In this paper we show that the recourse function is also strongly self-concordant and forms a self concordant family for the two-stage stochastic convex quadratic programs with recourse. This allows us to develop Benders decomposition based linearly convergent interior point algorithms. An analysis of such an algorithm is given in this paper.[28] G. Zhao: A log-barrier method with Benders decomposition for solving two-stage stochastic linear programs, Mathematical Programming Ser. A 90, (2001) 507-536.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Mathematisch-Naturwissenschaftliche Fakultät II, Institut für Mathematik
dc.rights.urihttp://rightsstatements.org/vocab/InC/1.0/
dc.subject.ddc510 Mathematik
dc.titleDecomposition-based interior point methods for two-stage stochastic convex quadratic programs with recourse
dc.typebook
dc.identifier.urnurn:nbn:de:kobv:11-10059502
dc.identifier.doihttp://dx.doi.org/10.18452/8318
local.edoc.container-titleStochastic Programming E-Print Series
local.edoc.pages23
local.edoc.type-nameBuch
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-volume2004
local.edoc.container-issue11
local.edoc.container-erstkatid2936317-2

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