An SQP algorithm for extended linear-quadratic problems in stochastic programming

DOI10.1007/BF02031711zbMath0835.90058OpenAlexW2091561969MaRDI QIDQ1896457

Robert S. Womersley, Liqun Qi

Publication date: 28 April 1996

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf02031711

zbMATH Keywords

stochastic programmingmultistage optimizationextended linear-quadratic programming\(B\)-regularity

Mathematics Subject Classification ID

Quadratic programming (90C20) Stochastic programming (90C15)

Related Items

Superlinearly convergent approximate Newton methods for LC\(^ 1\) optimization problems, A trust region algorithm for minimization of locally Lipschitzian functions, A preconditioning proximal Newton method for nondifferentiable convex optimization, Newton's method for quadratic stochastic programs with recourse, Local feasible QP-free algorithms for the constrained minimization of SC\(^1\) functions, A parallel inexact Newton method for stochastic programs with recourse, An approximate quasi-Newton bundle-type method for nonsmooth optimization, A trust region algorithm with adaptive cubic regularization methods for nonsmooth convex minimization, An SQP-type method and its application in stochastic programs, A quasi-Monte-Carlo-based feasible sequential system of linear equations method for stochastic programs with recourse, An inexact Lagrange-Newton method for stochastic quadratic programs with recourse, A new trust region algorithm for nonsmooth convex minimization, Continuity of parametric mixed-integer quadratic programs and its application to stability analysis of two-stage quadratic stochastic programs with mixed-integer recourse, Convergence analysis of some methods for minimizing a nonsmooth convex function, Globally and superlinearly convergent trust-region algorithm for convex \(SC^ 1\)-minimization problems and its application to stochastic programs, Newton-type methods for stochastic programming., Continuity and stability of two-stage stochastic programs with quadratic continuous recourse, Random test problems and parallel methods for quadratic programs and quadratic stochastic programs^∗

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