An Interior Point Method for Solving a Class of Linear-Quadratic Stochastic Programming Problems
The quadratically convergent polynomial algorithm of Ye and Anstreicher is suggested for solving a class of two-stage stochastic programs in which both the present cost function and the recourse problem are linear-quadratic. Such stochastic programs, although are nonsmooth in nature, can be reduced to a linear complementary problem with a special structure. The proposed algorithm takes advantage of this structure and performs well in computational tests.
Management Sciences and Quantitative Methods | Operations and Supply Chain Management
Recent Advances in Nonsmooth Optimization
DU, Dingzhu; QI, Liqun; and Womersley, R. S.
City or Country
WEE, Kwan Eng; Sun, J; and Zhu, J.
An Interior Point Method for Solving a Class of Linear-Quadratic Stochastic Programming Problems. (1995). Recent Advances in Nonsmooth Optimization. 392-404. Research Collection Lee Kong Chian School Of Business.
Available at: http://ink.library.smu.edu.sg/lkcsb_research/3198