Log-barrier decomposition methods for solving two-stage stochastic programs

Gongyun Zhao

An algorithm incorporating the logarithmic barrier into the decomposition technique is proposed for solving two-stage stochastic programs. Basic properties concerning the existence and uniqueness of the solution and the underlying path are studied. When applying to problems with a finite number of scenarios, the algorithm is shown to converge globally and to run in polynomial-time.

Working paper, Dept of Math., National University of Singapore, Singapore, 1998.

Contact: matzgy@math.nus.edu.sg