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Polynomial Cutting Plane Algorithms for Extended Linear-Quadratic Problems in

Summary: Polynomial Cutting Plane Algorithms for
Extended Linear-Quadratic Problems in
Stochastic Programming based on Ellipsoids,
Volumetric Centers and Analytic Centers 1
K. A. Ariyawansa a,2
and P. L. Jiang b,3
aDepartment of Pure and Applied Mathematics, Washington State University,
Pullman, WA 99164-3113, U.S.A.
bProfessional Services, Delta Dental Plan of Minnesota, 3560 Delta Dental Drive,
Eagan, MN 55122-3166, U.S.A
In this paper, we consider the extended linear-quadratic problems arising in stochas-
tic programming. This class of problems is a nonlinear extension of the two-stage
stochastic linear programming problem considered in [3]. The work reported in this
paper is an analog of the work in [3] with extensions of the three polynomial cutting
plane algorithms given there to this more general class of problems.
Key words: Stochastic programming, cutting planes, ellipsoid algorithm, analytic center, volumetric
center, structured convex problems, linear-quadratic programming.
1 This research was supported in part by NSF Grant CCR-9403892.
2 Corresponding author. E-mail: ari@wsu.edu. URL: http://www.wsu.edu:8080/ari


Source: Ariyawansa, Ari - Department of Mathematics, Washington State University


Collections: Mathematics