Decomposition Based Interior Point Methods for Two-Stage Stochastic Convex Quadratic Programs with Recourse

@article{Mehrotra2009DecompositionBI,
  title={Decomposition Based Interior Point Methods for Two-Stage Stochastic Convex Quadratic Programs with Recourse},
  author={Sanjay Mehrotra and M. G{\"o}khan {\"O}zevin},
  journal={Operations Research},
  year={2009},
  volume={57},
  pages={964-974}
}
Zhao [28] recently showed that the log barrier associated with the recourse function of twostage stochastic linear programs behaves as a strongly self-concordant barrier and forms a self concordant family on the first stage solutions. In this paper we show that the recourse function is also strongly self-concordant and forms a self concordant family for the… CONTINUE READING