Институт вычислительной математики
и математической геофизики

The International Conference on Computational Mathematics


Statistic modeling and Monte Carlo methods

Self-Concordance of Recourse Function and a Decomposition-Based Interior Point Method for Two-Stage Stochastic Semidefinite Programs

Ozevin G., Mehrotra S.

Northwestern University,
USA (Evanston,

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 [24] 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

Mail to Webmaster
|Home Page| |English Part| [SBRAS]
Go to Home
© 1996-2000, Siberian Branch of Russian Academy of Sciences, Novosibirsk
    Last update: 06-Jul-2012 (11:52:06)