![](/images/graphics-bg.png)
A Quasi-Monte-Carlo-Based Feasible Sequential System of Linear Equations Method for Stochastic Programs with Recourse
Joint Authors
Zhou, Changyin
Su, Rui
Jiang, Zhihui
Source
Mathematical Problems in Engineering
Issue
Vol. 2017, Issue 2017 (31 Dec. 2017), pp.1-15, 15 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2017-08-24
Country of Publication
Egypt
No. of Pages
15
Main Subjects
Abstract EN
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.
American Psychological Association (APA)
Zhou, Changyin& Su, Rui& Jiang, Zhihui. 2017. A Quasi-Monte-Carlo-Based Feasible Sequential System of Linear Equations Method for Stochastic Programs with Recourse. Mathematical Problems in Engineering،Vol. 2017, no. 2017, pp.1-15.
https://search.emarefa.net/detail/BIM-1189573
Modern Language Association (MLA)
Zhou, Changyin…[et al.]. A Quasi-Monte-Carlo-Based Feasible Sequential System of Linear Equations Method for Stochastic Programs with Recourse. Mathematical Problems in Engineering No. 2017 (2017), pp.1-15.
https://search.emarefa.net/detail/BIM-1189573
American Medical Association (AMA)
Zhou, Changyin& Su, Rui& Jiang, Zhihui. A Quasi-Monte-Carlo-Based Feasible Sequential System of Linear Equations Method for Stochastic Programs with Recourse. Mathematical Problems in Engineering. 2017. Vol. 2017, no. 2017, pp.1-15.
https://search.emarefa.net/detail/BIM-1189573
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1189573