Decomposition-based interior point methods for stochastic quadratic second-order cone programming

摘要

Zhao (2001) introduced a logarithmic barrier interior point method for solving two-stage stochastic linear programs with recourse using Benders’ decomposition. This decomposition algorithm and its analysis have been extended by Alzalg and Ariyawansa (2014) for solving two-stage stochastic programs with recourse over all symmetric cones. In this paper, we utilize their work to derive a logarithmic barrier decomposition-based interior point algorithm for two-stage stochastic convex quadratic second-order cone programs with recourse.