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An Interior Point Method for Solving a Class of
Linear-Quadratic Stochastic Programming Problems

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J. Sun, K.-E. Wee, J.-S. Zhu

The quadratically convergent polynomial algorithm of
Ye and Anstreicher is suggested for solving a class of
two-stage stochastic programs in which both the present
cost function and the recourse problem are linear-
quadratic. Such stochastic programs, although are
nonsmooth in nature, can be reduced to a linear com-
plementary problem with a special structure. The
proposed algorithm takes advantage of this structure
and performs well in computational tests.
Recent Advances in Nonsmooth Optimization
Editors D.-Z. Du, Liqun Qi, R.S. Womersley,
(World Scientific, Singapore, 1995) 392-404.

Contact: fbasunj@nus.sg