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A Cutting-Surface Method for Uncertain Linear Programs with Polyhedral Stochastic Dominance Constraints

✍ Scribed by Homem-de-Mello, Tito; Mehrotra, Sanjay

Book ID
118203572
Publisher
Society for Industrial and Applied Mathematics
Year
2010
Tongue
English
Weight
602 KB
Volume
20
Category
Article
ISSN
1052-6234

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Solving convex programs with infinitely
Solving convex programs with infinitely many linear constraints by a relaxed cutting plane method
✍ Soon-Yi Wu; S.-C. Fang πŸ“‚ Article πŸ“… 1999 πŸ› Elsevier Science 🌐 English βš– 541 KB

One of the major computational bottlenecks of using the conventional cutting plane approach to solve convex programming problems with infinitely many linear constraints lies in finding a global optimizer of a nonlinear and nonconvex program. This paper presents a relaxed scheme to generate a new cut