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A preconditioning technique for Schur complement systems arising in stochastic optimization

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  • Cosmin Petra
  • Mihai Anitescu

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  • 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.
    • Handle: RePEc:spr:coopap:v:52:y:2012:i:2:p:315-344
    DOI: 10.1007/s10589-011-9418-y
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    References listed on IDEAS

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    1. S. Cafieri & M. D’Apuzzo & M. Marino & A. Mucherino & G. Toraldo, 2006. "Interior-Point Solver for Large-Scale Quadratic Programming Problems with Bound Constraints," Journal of Optimization Theory and Applications, Springer, vol. 129(1), pages 55-75, April.
    2. Gondzio, Jacek, 1995. "HOPDM (version 2.12) -- A fast LP solver based on a primal-dual interior point method," European Journal of Operational Research, Elsevier, vol. 85(1), pages 221-225, August.
    3. 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.
    4. 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.
    5. R. D. C. Monteiro & Jong-Shi Pang, 1996. "Properties of an Interior-Point Mapping for Mixed Complementarity Problems," Mathematics of Operations Research, INFORMS, vol. 21(3), pages 629-654, August.
    6. R. T. Rockafellar & Roger J.-B. Wets, 1991. "Scenarios and Policy Aggregation in Optimization Under Uncertainty," Mathematics of Operations Research, INFORMS, vol. 16(1), pages 119-147, February.
    7. John R. Birge & Liqun Qi, 1988. "Computing Block-Angular Karmarkar Projections with Applications to Stochastic Programming," Management Science, INFORMS, vol. 34(12), pages 1472-1479, December.
    8. Julia L. Higle & Suvrajeet Sen, 1991. "Stochastic Decomposition: An Algorithm for Two-Stage Linear Programs with Recourse," Mathematics of Operations Research, INFORMS, vol. 16(3), pages 650-669, August.
    9. Sanjay Mehrotra & M. Gokhan Ozevin, 2009. "Decomposition Based Interior Point Methods for Two-Stage Stochastic Convex Quadratic Programs with Recourse," Operations Research, INFORMS, vol. 57(4), pages 964-974, August.
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    Cited by:

    1. Yankai Cao & Carl D. Laird & Victor M. Zavala, 2016. "Clustering-based preconditioning for stochastic programs," Computational Optimization and Applications, Springer, vol. 64(2), pages 379-406, June.
    2. 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.

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