Barrier function in the Lagrangian dual method for solving multi-stage stochastic nonlinear programs

Gongyun Zhao

This paper presents an algorithm for solving multi-stage stochastic nonlinear programs. The algorithm is based on the Lagrangian dual method, which relaxes the nonanticipative constraints, and the barrier function method, which enhances the smoothness of the dual objective function so that the Newton search direction and even higher-order search directions can be use. The algorithm is shown to be of globally linear convergence and of polynomial-time complexity.

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

Contact: matzgy@math.nus.edu.sg


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