Statistic modeling and Monte Carlo methods
We introduce two-stage stochastic dual semidefinite programs with recourse and present a Benders decomposition based linearly convergent interior point algorithm to solve them. Our paper extends the results in Zhao  wherein it was shown that the logarithmic barrier associated with the recourse function of two-stage stochastic linear programs with recourse behaves as a strongly self-concordant barrier on the first stage solutions.
Note. Abstracts are published in author's edition
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