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Smooth minimization of two-stage stochastic linear programs

Shabbir Ahmed (sahmed***at***isye.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.

Download: [PDF]

Entry Submitted: 02/04/2006
Entry Accepted: 02/04/2006
Entry Last Modified: 02/04/2006

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