Homogeneous Self-dual Algorithms for Stochastic Second-Order Cone Programming |
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Authors: | Baha Alzalg |
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Institution: | 1. Department of Mathematics, Faculty of Science, The University of Jordan, P.O. Box 13194, Amman, 11942, Jordan
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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. |
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