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...
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| Main Authors: | , , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
1995
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| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/lkcsb_research/3198 |
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| Institution: | Singapore Management University |
| Language: | English |
| Summary: | 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. |
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