Homogeneous Self-dual Algorithms for Stochastic Second-Order Cone Programming

Baha Alzalg ()
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Baha Alzalg: The University of Jordan

Journal of Optimization Theory and Applications, 2014, vol. 163, issue 1, No 7, 148-164

Abstract: Abstract Jin et al. (in J. Optim. Theory Appl. 155:1073–1083, 2012) proposed homogeneous self-dual algorithms for stochastic semidefinite programs with finite event space. In this paper, we utilize their work to derive homogeneous self-dual algorithms for stochastic second-order cone programs with finite event space. We also show how the structure in the stochastic second-order cone programming problems may be exploited so that the algorithms developed for these problems have less complexity than the algorithms developed for stochastic semidefinite programs mentioned above.

Keywords: Second-order cone programming; Homogeneous self-dual algorithms; Computational complexity; Stochastic second-order programming (search for similar items in EconPapers)
Date: 2014
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DOI: 10.1007/s10957-013-0428-z

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