%0 Journal Article
%T A homogeneous predictor-corrector algorithm for stochastic nonsymmetric convex conic optimization with discrete support
%J Communications in Combinatorics and Optimization
%I Azarbaijan Shahid Madani University
%Z 2538-2128
%A Alzalg, Baha
%A Alabedalhadi, Mohammad
%D 2023
%\ 09/01/2023
%V 8
%N 3
%P 531-559
%! A homogeneous predictor-corrector algorithm for stochastic nonsymmetric convex conic optimization with discrete support
%K Convex optimization
%K Nonsymmetric programming
%K Stochastic programming
%K predictor-corrector methods
%K Interior-point methods
%R 10.22049/cco.2022.27449.1266
%X 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. Our main result is that we uniquely combine a nonsymmetric algorithm with efficient methods for computing the predictor and corrector directions. Finally, we describe a realistic application and present computational results for instances of the stochastic facility location problem formulated as a stochastic nonsymmetric convex conic optimization problem.
%U http://comb-opt.azaruniv.ac.ir/article_14429_0fbdc3396bab022b9b1e59d06fe7b586.pdf