Journal of Global Optimization
On the implementation of a log-barrier progressive hedging method for multistage stochastic programs
Journal of Computational and Applied Mathematics
Recourse-based stochastic nonlinear programming: properties and Benders-SQP algorithms
Computational Optimization and Applications
Computational Optimization and Applications
Path-following gradient-based decomposition algorithms for separable convex optimization
Journal of Global Optimization
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This paper presents an algorithm for solving multi-stage stochastic convex nonlinear programs. The algorithm is based on the Lagrangian dual method which relaxes the nonanticipativity constraints, and the barrier function method which enhances the smoothness of the dual objective function so that the Newton search directions can be used. The algorithm is shown to be of global convergence and of polynomial-time complexity.