Log-barrier method for two-stage quadratic stochastic programming

被引：36

作者：

Cho, GM ^{[1
]}

机构：

[1] Dongseo Univ, Div Internet Engn, Pusan 617716, South Korea

来源：

APPLIED MATHEMATICS AND COMPUTATION | 2005年 / 164卷 / 01期

关键词：

two-stage stochastic programming; log-barrier method; complexity; polynomial algorithm;

D O I：

10.1016/j.amc.2004.04.095

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

In this paper we present a log-barrier method for solving two-stage quadratic stochastic programs. The mathematical model considered here can be used to present several real world applications, including financial and production planning problems. We discuss fundamental properties associated with the proposed algorithm and analyze the convergence and complexity of the algorithm. (c) 2004 Elsevier Inc. All rights reserved.

引用

页码：45 / 69

页数：25

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