Globally and superlinearly convergent trust-region algorithm for convex SC^ 1-minimization problems and its application to stochastic programs

DOI10.1007/BF02189800MaRDI QIDQ2565034zbMATH OpenOpenAlexFDO

Authors Houyuan Jiang, Liqun Qi

Publication date 20 July 1997

Published in Journal of Optimization Theory and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/bf02189800

zbMATH Keywords

global convergenceSC\(^ 1\)-functionstochastic quadratic programmingsuperlinear convergencetrust-region algorithm

Mathematics Subject Classification ID

Stochastic programming (90C15) Convex programming (90C25)

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Cites work

• A globally convergent Newton method for convex \(SC^ 1\) minimization problems
• A Lagrangian finite generation technique for solving linear-quadratic problems in stochastic programming
• A model algorithm for composite nondifferentiable optimization problems
• A nonsmooth version of Newton's method
• An SQP algorithm for extended linear-quadratic problems in stochastic programming
• Computational schemes for large-scale problems in extended linear- quadratic programming
• Conditions for convergence of trust region algorithms for nonsmooth optimization
• Convergence Analysis of Some Algorithms for Solving Nonsmooth Equations
• Convergence properties of trust region methods for linear and convex constraints
• Global Convergence of a Class of Trust Region Algorithms for Optimization Using Inexact Projections on Convex Constraints
• scientific article; zbMATH DE number 1243473 (Why is no real title available?)
• Linear-Quadratic Programming and Optimal Control
• Local uniqueness and convergence of iterative methods for nonsmooth variational inequalities
• Newton's method for quadratic stochastic programs with recourse
• Newton’s Method with a Model Trust Region Modification
• On the superlinear convergence of a trust region algorithm for nonsmooth optimization
• Optimization and nonsmooth analysis
• Primal-Dual Projected Gradient Algorithms for Extended Linear-Quadratic Programming
• Superlinearly convergent approximate Newton methods for LC\(^ 1\) optimization problems
• Superlinearly convergent quasi-newton algorithms for nonlinearly constrained optimization problems

Cited in

(4)

• The SC^1 1property of an expected residual function arising from stochastic complementarity problems
• Solution of monotone complementarity problems with locally Lipschitzian functions
• A globally and superlinearly convergent trust region method for \(LC^1\) optimization problems
• Local feasible QP-free algorithms for the constrained minimization of SC^1 functions

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