Volumetric Center Method for Stochastic Convex Programs using Sampling
نویسنده
چکیده
We develop an algorithm for solving the stochastic convex program SCP by combining Vaidya s volumetric center interior point method VCM for solv ing non smooth convex programming problems with the Monte Carlo sampling technique to compute a subgradient A near central cut variant of VCM is developed and for this method an approach to perform bulk cut translation and adding multiple cuts is given We show that by using near central VCM the SCP can be solved to a desirable accuracy with any given probability For the two stage SCP the solution time is independent of the number of scenarios
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