Smooth minimization of two-stage stochastic linear programs

  • Shabbir Ahmed
    • Categories Nonsmooth Optimization, Stochastic Programming Tags , Short URL: https://optimization-online.org/?p=9042

    This note presents an application of the smooth optimization technique of Nesterov for solving two-stage stochastic linear programs. It is shown that the original O(1/e) bound of Nesterov on the number of main iterations required to obtain an e-optimal solution is retained.

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    Technical Report, School of Industrial & Systems Engineering, Georgia Institute of Technology, 2006.

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