A class of volumetric barrier decomposition algorithms for stochastic quadratic programming

摘要

Ariyawansa and Zhu have introduced a class of volumetric barrier decomposition algorithms [K.A. Ariyawansa, Y. Zhu. A class of polynomial volumetric barrier decomposition algorithms for stochastic semidefinite programming, Available as Technical Report 2006-7, Department of Mathematics, Washington State University, Pullman, WA, submitted for publication. Available from: < http://www.math.wsu.edu/math/TRS/2006-7.pdf >] for solving two-stage stochastic semidefinite programs with recourse (SSDPs) [K.A. Ariyawansa, Y. Zhu, Stochastic semidefinite programming: a new paradigm for stochastic optimization, 40R-The Quarterly Journal of the Belgian, French and Italian OR Societies, (in press). Available as Technical Report 2004-10, Department of Mathematics, Washington State University, Pullman, WA, October 2004. Available from: < http://www.math.wsu.edu/math/TRS/2004-10.pdf >]. In this paper we utilize their work for SSDPs to derive a class of volumetric barrier decomposition algorithms for solving two-stage stochastic quadratic programs with recourse and to establish polynomial complexity of certain members of the class of algorithms. (c) 2006 Elsevier Inc. All rights reserved.