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Computing Block-Angular Karmarkar Projections with Applications to Stochastic Programming
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- Jacek Gondzio & Andreas Grothey, 2007. "Parallel interior-point solver for structured quadratic programs: Application to financial planning problems," Annals of Operations Research, Springer, vol. 152(1), pages 319-339, July.
- Gondzio, Jacek, 2012. "Interior point methods 25 years later," European Journal of Operational Research, Elsevier, vol. 218(3), pages 587-601.
- Berkelaar, A.B. & Dert, C.L. & Oldenkamp, K.P.B. & Zhang, S., 1999. "A primal-dual decomposition based interior point approach to two-stage stochastic linear programming," Econometric Institute Research Papers EI 9918-/A, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Diana Barro & Elio Canestrelli, 2005. "Time and nodal decomposition with implicit non-anticipativity constraints in dynamic portfolio optimization," GE, Growth, Math methods 0510011, University Library of Munich, Germany.
- Meszaros, Csaba, 1997. "The augmented system variant of IPMs in two-stage stochastic linear programming computation," European Journal of Operational Research, Elsevier, vol. 101(2), pages 317-327, September.
- Arjan Berkelaar & Cees Dert & Bart Oldenkamp & Shuzhong Zhang, 2002. "A Primal-Dual Decomposition-Based Interior Point Approach to Two-Stage Stochastic Linear Programming," Operations Research, INFORMS, vol. 50(5), pages 904-915, October.
- J. Gondzio, 1994. "Preconditioned Conjugate Gradients in an Interior Point Method for Two-stage Stochastic Programming," Working Papers wp94130, International Institute for Applied Systems Analysis.
- Kuang-Yu Ding & Xin-Yee Lam & Kim-Chuan Toh, 2023. "On proximal augmented Lagrangian based decomposition methods for dual block-angular convex composite programming problems," Computational Optimization and Applications, Springer, vol. 86(1), pages 117-161, September.
- Tiago Andrade & Nikita Belyak & Andrew Eberhard & Silvio Hamacher & Fabricio Oliveira, 2022. "The p-Lagrangian relaxation for separable nonconvex MIQCQP problems," Journal of Global Optimization, Springer, vol. 84(1), pages 43-76, September.
- X. W. Liu & M. Fukushima, 2006. "Parallelizable Preprocessing Method for Multistage Stochastic Programming Problems," Journal of Optimization Theory and Applications, Springer, vol. 131(3), pages 327-346, December.
- P. Beraldi & D. Conforti & A. Violi, 2009. "SICOpt: Solution Approach for Nonlinear Integer Stochastic Programming Problems," Journal of Optimization Theory and Applications, Springer, vol. 143(1), pages 17-36, October.
- A. Ruszczynski, 1993. "Interior Point Methods in Stochastic Programming," Working Papers wp93008, International Institute for Applied Systems Analysis.
- Cosmin Petra & Mihai Anitescu, 2012. "A preconditioning technique for Schur complement systems arising in stochastic optimization," Computational Optimization and Applications, Springer, vol. 52(2), pages 315-344, June.
- Kouwenberg, Roy, 2001. "Scenario generation and stochastic programming models for asset liability management," European Journal of Operational Research, Elsevier, vol. 134(2), pages 279-292, October.
- Vladimirou, Hercules, 1998. "Computational assessment of distributed decomposition methods for stochastic linear programs," European Journal of Operational Research, Elsevier, vol. 108(3), pages 653-670, August.
- Jacek Gondzio & Roy Kouwenberg, 2001. "High-Performance Computing for Asset-Liability Management," Operations Research, INFORMS, vol. 49(6), pages 879-891, December.
- Zhang, S., 2002. "An interior-point and decomposition approach to multiple stage stochastic programming," Econometric Institute Research Papers EI 2002-35, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Gondzio, J. & Sarkissian, R. & Vial, J.-P., 1997. "Using an interior point method for the master problem in a decomposition approach," European Journal of Operational Research, Elsevier, vol. 101(3), pages 577-587, September.
- Mulvey, John M. & Rosenbaum, Daniel P. & Shetty, Bala, 1997. "Strategic financial risk management and operations research," European Journal of Operational Research, Elsevier, vol. 97(1), pages 1-16, February.
- G. Y. Zhao, 1999. "Interior-Point Methods with Decomposition for Solving Large-Scale Linear Programs," Journal of Optimization Theory and Applications, Springer, vol. 102(1), pages 169-192, July.
- Fuente, J. L. de la & García, C. & Prieto, Francisco J. & Escudero, L. F., 1996. "A parallel computation approach for solving multistage stochastic network problems," DES - Working Papers. Statistics and Econometrics. WS 10455, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Jacek Gondzio & Andreas Grothey, 2009. "Exploiting structure in parallel implementation of interior point methods for optimization," Computational Management Science, Springer, vol. 6(2), pages 135-160, May.
- Emmanuel Fragnière & Jacek Gondzio & Robert Sarkissian & Jean-Philippe Vial, 2000. "A Structure-Exploiting Tool in Algebraic Modeling Languages," Management Science, INFORMS, vol. 46(8), pages 1145-1158, August.
- Berkelaar, Arjan & Dert, Cees & Oldenkamp, Bart, 1999. "A primal-dual decompsition-based interior point approach to two-stage stochastic linear programming," Serie Research Memoranda 0026, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
- Rehfeldt, Daniel & Hobbie, Hannes & Schönheit, David & Koch, Thorsten & Möst, Dominik & Gleixner, Ambros, 2022. "A massively parallel interior-point solver for LPs with generalized arrowhead structure, and applications to energy system models," European Journal of Operational Research, Elsevier, vol. 296(1), pages 60-71.
- Bocanegra, Silvana & Castro, Jordi & Oliveira, Aurelio R.L., 2013. "Improving an interior-point approach for large block-angular problems by hybrid preconditioners," European Journal of Operational Research, Elsevier, vol. 231(2), pages 263-273.