A quasi-Monte-Carlo-based feasible sequential system of linear equations method for stochastic programs with recourse

DOI10.1155/2017/1564642zbMath1426.90194OpenAlexW2746600094MaRDI QIDQ1992358

Publication date: 5 November 2018

Published in: Mathematical Problems in Engineering (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2017/1564642

Mathematics Subject Classification ID

Numerical mathematical programming methods (65K05) Monte Carlo methods (65C05) Quadratic programming (90C20) Stochastic programming (90C15)

Uses Software

SUTIL

Cites Work

Unnamed Item
Unnamed Item
Unnamed Item
Infinite horizon linear quadratic optimal control for stochastic difference time-delay systems
A log-exponential smoothing method for mathematical programs with complementarity constraints
Parallel algorithms for large-scale linearly constrained minimization problem
Stochastic linear quadratic optimal control with constraint for discrete-time systems
An accurate active set Newton algorithm for large scale bound constrained optimization.
Parallel SSLE algorithm for large scale constrained optimization
Sequential systems of linear equations algorithm for nonlinear optimization problems -- general constrained problems.
Optimal harvesting control and dynamics of two-species stochastic model with delays
A decomposition method for large-scale box constrained optimization
Study on stochastic linear quadratic optimal control with quadratic and mixed terminal state constraints
Study on indefinite stochastic linear quadratic optimal control with inequality constraint
An SQP algorithm for extended linear-quadratic problems in stochastic programming
Newton's method for quadratic stochastic programs with recourse
Parallel variable distribution algorithm for constrained optimization with nonmonotone technique
The empirical behavior of sampling methods for stochastic programming
A New QP-Free, Globally Convergent, Locally Superlinearly Convergent Algorithm For Inequality Constrained Optimization
A Sequential Sampling Procedure for Stochastic Programming
Robust Stochastic Approximation Approach to Stochastic Programming
A Lagrangian finite generation technique for solving linear-quadratic problems in stochastic programming
A QP-Free, Globally Convergent, Locally Superlinearly Convergent Algorithm for Inequality Constrained Optimization
Strongly Regular Generalized Equations
Imbedded Lattice Rules for Multidimensional Integration
On the Accurate Identification of Active Constraints
Introduction to Stochastic Programming
Implementation of a lattice method for numerical multiple integration
A Feasible Sequential Linear Equation Method for Inequality Constrained Optimization
Augmented Markov Chain Monte Carlo Simulation for Two-Stage Stochastic Programs with Recourse
Applications of Stochastic Programming

This page was built for publication: A quasi-Monte-Carlo-based feasible sequential system of linear equations method for stochastic programs with recourse