A quasi-Monte-Carlo-based feasible sequential system of linear equations method for stochastic programs with recourse
type: Item
instance of: scholarly article
title: A quasi-Monte-Carlo-based feasible sequential system of linear equations method for stochastic programs with recourse
zbMATH Open document ID: 1426.90194
DOI: 10.1155/2017/1564642
author: Changyin Zhou
author: Rui Su
author: Zhihui Jiang
published in: Mathematical Problems in Engineering
publication date: 2018-11-05T00:00:00Z
review text: Summary: A two-stage stochastic quadratic programming problem with inequality constraints is considered. By quasi-Monte-Carlo-based approximations of the objective function and its first derivative, a feasible sequential system of linear equations method is proposed. A new technique to update the active constraint set is suggested. We show that the sequence generated by the proposed algorithm converges globally to a Karush-Kuhn-Tucker (KKT) point of the problem. In particular, the convergence rate is locally superlinear under some additional conditions.
Mathematics Subject Classification ID: 90C15
Mathematics Subject Classification ID: 65C05
Mathematics Subject Classification ID: 65K05
Mathematics Subject Classification ID: 90C20
zbMATH DE Number: 6971762
describes a project that uses: SUTIL
MaRDI profile type: Publication
full work available at URL: https://doi.org/10.1155/2017/1564642
OpenAlex ID: W2746600094
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description: scientific article; zbMATH DE number 6971762