Name
Title | ||
|---|---|---|
Convergence of a Weighted Barrier Decomposition Algorithm for Two-Stage Stochastic Programming with Discrete Support |
Abstract | ||
|---|---|---|
Mehrotra and Özevin [SIAM J. Optim., 19 (2009), pp. 1846-1880] computationally found that a weighted primal barrier decomposition algorithm significantly outperforms the equally weighted barrier decomposition proposed and analyzed in [G. Zhao, Math. Program., 90 (2001), pp. 507-536; S. Mehrotra and M. G. Özevin, Oper. Res., 57 (2009), pp. 964-974; S. Mehrotra and M. G. Özevin, SIAM J. Optim., 18 (2007), pp. 206-222]. Here we consider a weighted barrier that allows us to analyze iteration complexity of algorithms in all of the aforementioned publications in a unified framework. In particular, we prove self-concordance parameter values for the weighted barrier and using these values give a worst-case iteration complexity bound for the weighted decomposition algorithm. |
Year | DOI | Venue |
|---|---|---|
2010 | 10.1137/080741380 | SIAM Journal on Optimization |
Keywords | Field | DocType |
siam j. optim,g. zhao,iteration complexity,discrete support,two-stage stochastic programming,m. g.,weighted barrier,weighted barrier decomposition,weighted barrier decomposition algorithm,s. mehrotra,weighted decomposition algorithm,weighted primal barrier decomposition,worst-case iteration complexity,benders decomposition,stochastic programming | Convergence (routing),Discrete mathematics,Mathematical optimization,Algorithm,Stochastic programming,Mathematics,Benders' decomposition,Decomposition | Journal |
Volume | Issue | ISSN |
20 | 5 | 1052-6234 |
Citations | PageRank | References |
1 | 0.37 | 9 |
Authors | ||
2 | ||
Name | Order | Citations | PageRank |
|---|---|---|---|
| Sanjay Mehrotra | 1 | 521 | 77.18 |
| M. Gokhan Özevin | 2 | 1 | 0.37 |