Format:
1 Online-Ressource (43 Seiten)
Series Statement:
Stochastic Programming E-Print Series 2000,2000,2
Content:
We develop an algorithm for solving the stochastic convex program (SCP) by combining Vaidya's volumetric center interior point method (VCM) for solving non-smooth convex programming problems with the Monte-Carlo sampling technique to compute a subgradient. A near-central cut variant of VCM is developed, and for this method an approach to perform bulk cut translation, and adding multiple cuts is given. We show that by using near-central VCM the SCP can be solved to a desirable accuracy with any given probability. For the two-stage SCP the solution time is independent of the number of scenarios.
Language:
English
URN:
urn:nbn:de:kobv:11-10057165
URN:
urn:nbn:de:kobv:11-10046185
URL:
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