Homogeneous self-dual algorithms for stochastic semidefinite programs with finite event space have been proposed by Jin et al. in [17]. Alzalg [8] has adopted their work to derive homogeneous selfdual algorithms for stochastic second-order programs with finite event space. In this paper, we generalize these to derive homogeneous selfdual algorithms for stochastic programs with finite event space over the much wider class of all symmetric cones. They include among others, stochastic semidefinite programs and stochastic second-order cone programs.

Homogeneous self-dual methods for symmetric cones under uncertainty

MAGGIONI, Francesca;VITALI, Sebastiano
2016

Abstract

Homogeneous self-dual algorithms for stochastic semidefinite programs with finite event space have been proposed by Jin et al. in [17]. Alzalg [8] has adopted their work to derive homogeneous selfdual algorithms for stochastic second-order programs with finite event space. In this paper, we generalize these to derive homogeneous selfdual algorithms for stochastic programs with finite event space over the much wider class of all symmetric cones. They include among others, stochastic semidefinite programs and stochastic second-order cone programs.
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Alzalg, Baha; Maggioni, Francesca; Vitali, Sebastiano
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/10446/70841
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