Smooth minimization of two-stage stochastic linear programs
Shabbir Ahmed (sahmedisye.gatech.edu)
Abstract: This note presents an application of the smooth optimization technique of Nesterov for solving two-stage stochastic linear programs. It is shown that the original O(1/e) bound of Nesterov on the number of main iterations required to obtain an e-optimal solution is retained.
Keywords: Stochastic linear programming, smooth minimization
Category 1: Stochastic Programming
Category 2: Convex and Nonsmooth Optimization (Nonsmooth Optimization )
Citation: Technical Report, School of Industrial & Systems Engineering, Georgia Institute of Technology, 2006.
Entry Submitted: 02/04/2006
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