Log-barrier method for two-stage quadratic stochastic programming

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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.

论文关键词:Two-stage stochastic programming,Log-barrier method,Complexity,Polynomial algorithm

论文评审过程:Available online 9 September 2004.

论文官网地址:https://doi.org/10.1016/j.amc.2004.04.095