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

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: 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
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Institution: Singapore Management University
Language: English
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spelling sg-smu-ink.lkcsb_research-41972015-02-21T03:32:20Z An Interior Point Method for Solving a Class of Linear-Quadratic Stochastic Programming Problems WEE, Kwan Eng Sun, J Zhu, J 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. 1995-01-01T08:00:00Z text https://ink.library.smu.edu.sg/lkcsb_research/3198 Research Collection Lee Kong Chian School Of Business eng Institutional Knowledge at Singapore Management University Management Sciences and Quantitative Methods Operations and Supply Chain Management
institution Singapore Management University
building SMU Libraries
continent Asia
country Singapore
Singapore
content_provider SMU Libraries
collection InK@SMU
language English
topic Management Sciences and Quantitative Methods
Operations and Supply Chain Management
spellingShingle Management Sciences and Quantitative Methods
Operations and Supply Chain Management
WEE, Kwan Eng
Sun, J
Zhu, J
An Interior Point Method for Solving a Class of Linear-Quadratic Stochastic Programming Problems
description 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.
format text
author WEE, Kwan Eng
Sun, J
Zhu, J
author_facet WEE, Kwan Eng
Sun, J
Zhu, J
author_sort WEE, Kwan Eng
title An Interior Point Method for Solving a Class of Linear-Quadratic Stochastic Programming Problems
title_short An Interior Point Method for Solving a Class of Linear-Quadratic Stochastic Programming Problems
title_full An Interior Point Method for Solving a Class of Linear-Quadratic Stochastic Programming Problems
title_fullStr An Interior Point Method for Solving a Class of Linear-Quadratic Stochastic Programming Problems
title_full_unstemmed An Interior Point Method for Solving a Class of Linear-Quadratic Stochastic Programming Problems
title_sort interior point method for solving a class of linear-quadratic stochastic programming problems
publisher Institutional Knowledge at Singapore Management University
publishDate 1995
url https://ink.library.smu.edu.sg/lkcsb_research/3198
_version_ 1770571145167241216

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