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

• Main Authors: WEE, Kwan Eng, Sun, J, Zhu, J
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 1995
• Subjects: Management Sciences and Quantitative Methods; Operations and Supply Chain Management
• Online Access: https://ink.library.smu.edu.sg/lkcsb_research/3198
• Institution: Singapore Management University

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...