A quasi-Monte-Carlo-based feasible sequential system of linear equations method for stochastic programs with recourse (Q1992358)
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scientific article; zbMATH DE number 6971762
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| English | A quasi-Monte-Carlo-based feasible sequential system of linear equations method for stochastic programs with recourse |
scientific article; zbMATH DE number 6971762 |
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A quasi-Monte-Carlo-based feasible sequential system of linear equations method for stochastic programs with recourse (English)
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5 November 2018
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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.
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