Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
6420733 | Applied Mathematics and Computation | 2014 | 18 Pages |
Abstract
Zhao (2001) introduced a logarithmic barrier interior point method for solving two-stage stochastic linear programs with recourse using Benders' decomposition. This decomposition algorithm and its analysis have been extended by Alzalg and Ariyawansa (2014) for solving two-stage stochastic programs with recourse over all symmetric cones. In this paper, we utilize their work to derive a logarithmic barrier decomposition-based interior point algorithm for two-stage stochastic convex quadratic second-order cone programs with recourse.
Related Topics
Physical Sciences and Engineering
Mathematics
Applied Mathematics
Authors
Baha Alzalg,