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math.OC2021
A New Method for Computing Stationary Distribution and Steady-State Performance Measures of a Continuous-State Markov Chain with a Queuing Application
Shukai Li, Sanjay Mehrotra
Applications of stochastic models often involve the evaluation of steady-state performance, which requires solving a set of balance equations. In most cases of interest, the number…
math.OC2021
A Cutting-plane and Benders' Decomposition Algorithm for Two-Stage Distributionally Robust Convex programs
Fengqiao Luo, Shibshankar Dey, Sanjay Mehrotra
We present a finitely convergent cutting-plane algorithm for solving a general mixed-integer convex program given an oracle for solving a general convex program. This method is ext…