An SQP-Type Method and Its Application in Stochastic Programs

Z. Wei, L. Qi and X. Chen
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Z. Wei: Guangxi University
L. Qi: Hong Kong Polytechnic University
X. Chen: Shimane University

Journal of Optimization Theory and Applications, 2003, vol. 116, issue 1, No 11, 205-228

Abstract: Abstract In this paper, we propose and analyze an SQP-type method for solving linearly constrained convex minimization problems where the objective functions are too complex to be evaluated exactly. Some basic results for global convergence and local superlinear convergence are obtained according to the properties of the approximation sequence. We illustrate the applicability of our approach by proposing a new method for solving two-stage stochastic programs with fixed recourse.

Keywords: SQP method; global convergence; superlinear convergence; epiconvergence; stochastic programming (search for similar items in EconPapers)
Date: 2003
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Citations: View citations in EconPapers (1)

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DOI: 10.1023/A:1022122521816

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