Title

An Interior Point Method for Solving a Class of Linear-Quadratic Stochastic Programming Problems

Publication Type

Book Chapter

Publication Date

1995

Abstract

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.

Discipline

Management Sciences and Quantitative Methods | Operations and Supply Chain Management

Research Areas

Operations Management

Publication

Recent Advances in Nonsmooth Optimization

Editor

DU, Dingzhu; QI, Liqun; and Womersley, R. S.

First Page

392

Last Page

404

ISBN

9789810222659

Publisher

World Scientific

City or Country

Singapore

Additional URL

http://www.worldcat.org/oclc/32893951

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