A Quasi-Monte-Carlo-Based Feasible Sequential System of Linear Equations Method for Stochastic Programs with Recourse

Changyin Zhou, Rui Su and Zhihui Jiang

Mathematical Problems in Engineering, 2017, vol. 2017, 1-15

Abstract:

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.

Date: 2017
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Persistent link: https://EconPapers.repec.org/RePEc:hin:jnlmpe:1564642

DOI: 10.1155/2017/1564642

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