SIAMJO
2002
13 years 4 months ago
2002
Abstract. Sequential quadratic programming (SQP) methods have proved highly effective for solving constrained optimization problems with smooth nonlinear functions in the objective...
SIAMJO
2002
13 years 4 months ago
2002
In this paper we study a Monte Carlo simulation based approach to stochastic discrete optimization problems. The basic idea of such methods is that a random sample is generated and...
SIAMJO
2002
13 years 4 months ago
2002
Abstract. We study the situation in which, having solved a linear program with an interiorpoint method, we are presented with a new problem instance whose data is slightly perturbe...
SIAMJO
2002
13 years 4 months ago
2002
In this paper we propose a novel finite-horizon, discrete-time, time-varying filtering method based on the robust semidefinite programming (SDP) technique. The proposed method prov...
SIAMJO
2002
13 years 4 months ago
2002
We consider the interior-point approach to sensitivity analysis in linear programming developed by the authors. We investigate the quality of the interior-point bounds under degene...
SIAMJO
2002
2002
On Tractable Approximations of Uncertain Linear Matrix Inequalities Affected by Interval Uncertainty
13 years 4 months ago
SIAMJO
2002
13 years 4 months ago
2002
This paper proposes a new predictor-corrector interior-point method for a class of semidefinite programs, which numerically traces the central trajectory in a space of Lagrange mul...