An inexact Lagrange-Newton method for stochastic quadratic programs with recourse

DOI10.1007/S11766-004-0058-1MaRDI QIDQ1764396zbMATH OpenOpenAlexFDO

Authors Changyin Zhou, Guoping He

Publication date 24 February 2005

Published in Applied Mathematics. Series B (English Edition) (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11766-004-0058-1

Mathematics Subject Classification ID

Stochastic programming (90C15) Nonlinear programming (90C30)

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Cites work

• A Lagrangian finite generation technique for solving linear-quadratic problems in stochastic programming
• A parallel inexact Newton method for stochastic programs with recourse
• An Extension of the DQA Algorithm to Convex Stochastic Programs
• An SQP algorithm for extended linear-quadratic problems in stochastic programming
• Decomposition methods in stochastic programming
• scientific article; zbMATH DE number 53679 (Why is no real title available?)
• scientific article; zbMATH DE number 663895 (Why is no real title available?)
• Introduction to Stochastic Programming
• Newton's method for quadratic stochastic programs with recourse
• On augmented Lagrangian decomposition methods for multistage stochastic programs
• Primal-Dual Projected Gradient Algorithms for Extended Linear-Quadratic Programming

Cited in

(12)

• Newton's method for quadratic stochastic programs with recourse
• A parallel inexact Newton method for stochastic programs with recourse
• A new look at the Lagrange method for continuous-time stochastic optimization
• A quasi-Monte-Carlo-based feasible sequential system of linear equations method for stochastic programs with recourse
• A nonrandom variational approach to stochastic linear quadratic Gaussian optimization involving fractional noises (FLQG)
• Smoothing techniques and augmented Lagrangian method for recourse problem of two-stage stochastic linear programming
• A Lagrangian finite generation technique for solving linear-quadratic problems in stochastic programming
• scientific article; zbMATH DE number 4110460 (Why is no real title available?)
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• Recourse-based stochastic nonlinear programming: properties and Benders-SQP algorithms
• A derivative algorithm for inexact quadratic program -- application to environmental decision-making under uncertainty
• Multistage quadratic stochastic programming

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