Infinity norm optimization

Algebraic-based primal interior-point algorithms for stochastic infinity norm optimization

  • Baha Alzalg
  • Karima Tamsaouete
    • Categories Linear, Cone and Semidefinite Programming, Nonlinear Optimization, Stochastic Programming Tags , , , ,

    We study the two-stage stochastic infinity norm optimization problem with recourse. First, we study and analyze the algebraic structure of the infinity norm cone, and use its algebra to compute the derivatives of the barrier recourse functions. Then, we show that the barrier recourse functions and the composite barrier functions for this optimization problem are … Read more