A Decomposition Method Based on SQP for a Class of Multistage Stochastic Nonlinear Programs

DOI10.1137/S1052623402361447zbMath1043.90058MaRDI QIDQ4441954

Gongyun Zhao, Xin-Wei Liu

Publication date: 19 January 2004

Published in: SIAM Journal on Optimization (Search for Journal in Brave)

zbMATH Keywords

decompositionsequential quadratic programmingscenario analysismultistage stochastic nonlinear programs

Mathematics Subject Classification ID

Large-scale problems in mathematical programming (90C06) Stochastic programming (90C15) Decomposition methods (49M27) Methods of successive quadratic programming type (90C55)

Related Items (4)

Parallelizable preprocessing method for multistage stochastic programming problems ⋮ Recourse-based stochastic nonlinear programming: properties and Benders-SQP algorithms ⋮ On the implementation of a log-barrier progressive hedging method for multistage stochastic programs ⋮ Global convergence on an active set SQP for inequality constrained optimization

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