TY - JOUR
ID - 14581
TI - Algebraic-based primal interior-point algorithms for stochastic infinity norm optimization
JO - Communications in Combinatorics and Optimization
JA - CCO
LA - en
SN - 2538-2128
AU - Alzalg, Baha
AU - Tamsaouete, Karima
AD - The University of Jordan
Y1 - 2023
PY - 2023
VL -
IS -
SP -
EP -
KW - Commutative algebra
KW - infinity norm optimization
KW - Stochastic programming
KW - Interior-point methods
KW - polynomial-time complexity
DO - 10.22049/cco.2023.28256.1492
N2 - We study the two-stage stochastic infinity norm optimization problem with recourse based on a commutative algebra. First, we explore and develop the algebraic structure of the infinity norm cone, and utilize it to compute the derivatives of the barrier recourse functions. Then, we prove that the barrier recourse functions and the composite barrier functions for this optimization problem are self-concordant families with reference to barrier parameters. These findings are used to develop interior-point algorithms based on primal decomposition for this class of stochastic programming problems. Our complexity results for the short- and long-step algorithms show that the dominant complexity terms are linear in the rank of the underlying cone. Despite the asymmetry of the infinity norm cone, we also show that the obtained complexity results match (in terms of rank) the best known results in the literature for other well-studied stochastic symmetric cone programs. Finally, we demonstrate the efficiency of the proposed algorithm by presenting some numerical experiments on both stochastic uniform facility location problems and randomly-generated problems.
UR - http://comb-opt.azaruniv.ac.ir/article_14581.html
L1 - http://comb-opt.azaruniv.ac.ir/article_14581_e9cfb4fe593becaa36773340fd33b553.pdf
ER -