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Barrier Methods Based on Jordan-Hilbert Algebras for Stochastic Optimization in Spin Factors

Baha Alzalg (baha2math***at***gmail.com)

Abstract: We present decomposition logarithmic-barrier interior-point methods based on unital Jordan-Hilbert algebras for infinite-dimensional stochastic second-order cone programming problems in spin factors. The results show that the iteration complexity of the proposed algorithms is independent on the choice of Hilbert spaces from which the underlying spin factors are formed, and so it coincides with the best known complexity obtained by such methods for the finite-dimensional setting. We apply our results to an important problem in stochastic control, namely the two-stage stochastic multi-criteria design problem. We show that the corresponding infinite-dimensional system in this case is a matrix differential Ricatti equation plus a finite-dimensional system, and hence, it can be solved efficiently to find the search direction.

Keywords: Jordan-Hilbert algebras, second-order cone programming, programming in abstract spaces, stochastic programming, interior-point methods, stochastic control

Category 1: Linear, Cone and Semidefinite Programming

Category 2: Stochastic Programming

Category 3: Infinite Dimensional Optimization

Citation:

Download: [PDF]

Entry Submitted: 06/14/2021
Entry Accepted: 06/14/2021
Entry Last Modified: 01/22/2022

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