Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
4636604 | Applied Mathematics and Computation | 2007 | 11 Pages |
Abstract
Ariyawansa and Zhu have introduced a class of volumetric barrier decomposition algorithms [K.A. Ariyawansa, Y. Zhu. A class of polynomial volumetric barrier decomposition algorithms for stochastic semidefinite programming, Available as Technical Report 2006-7, Department of Mathematics, Washington State University, Pullman, WA, submitted for publication. Available from: ] for solving two-stage stochastic semidefinite programs with recourse (SSDPs) [K.A. Ariyawansa, Y. Zhu, Stochastic semidefinite programming: a new paradigm for stochastic optimization, 4OR-The Quarterly Journal of the Belgian, French and Italian OR Societies, (in press). Available as Technical Report 2004-10, Department of Mathematics, Washington State University, Pullman, WA, October 2004. Available from: ]. In this paper we utilize their work for SSDPs to derive a class of volumetric barrier decomposition algorithms for solving two-stage stochastic quadratic programs with recourse and to establish polynomial complexity of certain members of the class of algorithms.
Related Topics
Physical Sciences and Engineering
Mathematics
Applied Mathematics
Authors
K.A. Ariyawansa, Yuntao Zhu,