NEWTONS METHOD FOR QUADRATIC STOCHASTIC PROGRAMS WITH RECOURSE

被引：26

作者：

CHEN, XJ ^{[1
]}

QI, LQ ^{[1
]}

WOMERSLEY, RS ^{[1
]}

机构：

[1] UNIV NEW S WALES,SCH MATH,KENSINGTON,NSW 2033,AUSTRALIA

来源：

JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS | 1995年 / 60卷 / 1-2期

基金：

澳大利亚研究理事会;

关键词：

NEWTONS METHOD; QUADRATIC STOCHASTIC PROGRAMS; NONSMOOTH EQUATIONS;

D O I：

10.1016/0377-0427(94)00082-C

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

Quadratic stochastic programs (QSP) with recourse can be formulated as nonlinear convex programming problems. By attaching a Lagrange multiplier vector to the nonlinear convex program, a QSP is written as a system of nonsmooth equations. A Newton-like method for solving the QSP is proposed and global convergence and local superlinear convergence of the method are established. The current method is more general than previous methods which were developed for box-diagonal and fully quadratic QSP. Numerical experiments are given to demonstrate the efficiency of the algorithm, and to compare the use of Monte-Carlo rules and lattice rules for multiple integration in the algorithm.

引用

页码：29 / 46

页数：18

共 23 条

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