Azarbaijan Shahid Madani UniversityCommunications in Combinatorics and Optimization2538-21288320230901A homogeneous predictor-corrector algorithm for stochastic nonsymmetric convex conic optimization with discrete support5315591442910.22049/cco.2022.27449.1266ENBahaAlzalgDepartment of Mathematics,
The University of Jordan.0000-0002-1839-8083MohammadAlabedalhadiMath Dept, Balqa Applied UniversityJournal Article20211006We 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.http://comb-opt.azaruniv.ac.ir/article_14429_0fbdc3396bab022b9b1e59d06fe7b586.pdf