An Infeasible Interior-Point Algorithm for Stochastic Second-Order Cone Optimization

Baha Alzalg (), Khaled Badarneh () and Ayat Ababneh ()
Additional contact information
Baha Alzalg: The University of Jordan
Khaled Badarneh: The University of Jordan
Ayat Ababneh: The University of Jordan

Journal of Optimization Theory and Applications, 2019, vol. 181, issue 1, No 17, 324-346

Abstract: Abstract Alzalg (J Optim Theory Appl 163(1):148–164, 2014) derived a homogeneous self-dual algorithm for stochastic second-order cone programs with finite event space. In this paper, we derive an infeasible interior-point algorithm for the same stochastic optimization problem by utilizing the work of Rangarajan (SIAM J Optim 16(4), 1211–1229, 2006) for deterministic symmetric cone programs. We show that the infeasible interior-point algorithm developed in this paper has complexity less than that of the homogeneous self-dual algorithm mentioned above. We implement the proposed algorithm to show that they are efficient.

Keywords: Second-order cone programming; Stochastic programming; Infeasible interior-point algorithms; Euclidean Jordan algebra; 90C25; 90C06; 90C15; 90C30; 90C51; 90C60 (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://link.springer.com/10.1007/s10957-018-1445-8 Abstract (text/html)
Access to the full text of the articles in this series is restricted.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:joptap:v:181:y:2019:i:1:d:10.1007_s10957-018-1445-8

Ordering information: This journal article can be ordered from
http://www.springer. ... cs/journal/10957/PS2

DOI: 10.1007/s10957-018-1445-8

Access Statistics for this article

Journal of Optimization Theory and Applications is currently edited by Franco Giannessi and David G. Hull

More articles in Journal of Optimization Theory and Applications from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().