A predictor-corrector method for extended linear-quadratic programming

The saddle point form of extended linear-quadratic programs can be solved by an interior point path-following method in polynomial time. The algorithm may take advantage of the block structures of certain problems arising from optimal control and stochastic programming. In addition, it needs no line searches and treats fully or not fully quadratic problems equally. Preliminary computational results apparently show that the algorithm is effective in solving a class of two-stage stochastic programming problems.