Log-barrier decomposition methods for solving two-stage
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,