Newton's method for quadratic stochastic programs with recourse

DOI10.1016/0377-0427(94)00082-CzbMath0836.65078OpenAlexW2037360107MaRDI QIDQ1900750

Robert S. Womersley, Liqun Qi, Xiaojun Chen

Publication date: 1995

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0377-0427(94)00082-c

zbMATH Keywords

global convergencenumerical resultsNewton's methodnonsmooth equationslattice rulesnonlinear convex programmingsuperlinear local convergenceMonte Carlo rulesquadratic stochastic program

Mathematics Subject Classification ID

Numerical mathematical programming methods (65K05) Convex programming (90C25) Quadratic programming (90C20) Stochastic programming (90C15)

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