Article ID: | iaor20011026 |
Country: | United States |
Volume: | 9 |
Issue: | 2 |
Start Page Number: | 107 |
End Page Number: | 152 |
Publication Date: | Feb 1998 |
Journal: | Computational Optimization and Applications |
Authors: | Seifi A., Tuncel L. |
Keywords: | programming: probabilistic |
We present a constant-potential infeasible-start interior-point (INFCP) algorithm for linear programming problems with a worst-case iteration complexity analysis as well as some computational results. The performance of the INFCP algorithm is compared to those of practical interior-point algorithms. New features of the algorithm include a heuristic method for computing a ‘good’ starting point and a procedure for solving the augmented system arising from stochastic programming with simple recourse. We also present an application to large scale planning problems under uncertainty.