Институт вычислительной математики
и математической геофизики

Abstracts

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 [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

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