Convergence of a weighted barrier decomposition algorithm for two-stage stochastic programming with discrete support

SIAM Journal on Optimization

Volumn 20, Issue 5, 2010, Pages 2474-2486

  Mehrotra, Sanjay ^a   Özevin, M Gokhan ^a  

^a Northwestern University   (United States)

Author keywords

Benders decomposition; Large scale optimization; Linear quadratic programming; Nondifferentiable convex optimization; Two stage stochastic programming

Indexed keywords

BENDERS DECOMPOSITION; LARGE-SCALE OPTIMIZATION; LINEAR-QUADRATIC PROGRAMMING; NON-DIFFERENTIABLE; TWO-STAGE STOCHASTIC PROGRAMMING;

ALGORITHMS; CONVERGENCE OF NUMERICAL METHODS; CONVEX OPTIMIZATION; OPTIMIZATION; STOCHASTIC PROGRAMMING; STOCHASTIC SYSTEMS;

QUADRATIC PROGRAMMING;

EID: 77956077098     PISSN: 10526234     EISSN: None     Source Type: Journal    
DOI: 10.1137/080741380     Document Type: Article

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