A Homogeneous Predictor-Corrector Algorithm for Stochastic Nonsymmetric Convex Conic Optimization With Discrete Support
We consider a stochastic convex optimization problem over nonsymmetric cones with discrete support. This class of optimization problems has not been studied yet. By using a logarithmically homogeneous self-concordant barrier function, we present a homogeneous predictor-corrector interior-point algorithm for solving stochastic nonsymmetric conic optimization problems. We also derive an iteration bound for the proposed algorithm. … Read more