Decomposition Based Interior Point Methods for Two-Stage Stochastic Convex Quadratic Programs with Recourse
نویسندگان
چکیده
منابع مشابه
Decomposition Based Interior Point Methods for Two-Stage Stochastic Convex Quadratic Programs with Recourse
Zhao [28] recently showed that the log barrier associated with the recourse function of twostage stochastic linear programs behaves as a strongly self-concordant barrier and forms a self concordant family on the first stage solutions. In this paper we show that the recourse function is also strongly self-concordant and forms a self concordant family for the two-stage stochastic convex quadratic...
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ژورنال
عنوان ژورنال: Operations Research
سال: 2009
ISSN: 0030-364X,1526-5463
DOI: 10.1287/opre.1080.0659