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Log-barrier method for two-stage quadratic stochastic programming

delete2005-05-01
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PRE
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C
Cho, GM *
DOI:10.1016/j.amc.2004.04.095delete
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摘要

摘要

En 中文
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.
Keyword:
two-stage stochastic programming
log-barrier method
complexity
polynomial algorithm

期刊

Applied Mathematics and Computation 封面图
Applied Mathematics and Computation
IF:
3.4
论文数:
2.3W
被引数:
3.3W

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