Decision-dependent probabilities in stochastic programs with recourse
نویسندگان
چکیده
منابع مشابه
Stochastic Programs with Recourse
Your use of the JSTOR archive indicates your acceptance of JSTOR's Terms and Conditions of Use, available at http://www.jstor.org/page/info/about/policies/terms.jsp. JSTOR's Terms and Conditions of Use provides, in part, that unless you have obtained prior permission, you may not download an entire issue of a journal or multiple copies of articles, and you may use content in the JSTOR archive o...
متن کاملA Stochastic Newton Method for Stochastic Quadratic Programs with Recourse
In this paper, we combine the inexact Newton method with the stochastic decomposition method and present a stochastic Newton method for solving the two-stage stochastic program. We prove that the new method is superlinearly convergent with probability one and a probabilistic error bound h(N k). The error bound h(N k) at least has the same order as jjy k ?y jj when k ! 1. In the algorithm, we ca...
متن کاملConvex approximations for stochastic programs with simple integer recourse
We review convex approximations for stochastic programs with simple integer recourse. Both for the case of discrete and continuous random variables such approximations are discussed, and representations as continuous simple recourse problems are given.
متن کاملA Parallel Inexact Newton Method for Stochastic Programs with Recourse
A parallel inexact Newton method with a line search is proposed for two-stage quadratic stochastic programs with recourse. A lattice rule is used for the numerical evaluation of multi-dimensional integrals, and a parallel iterative method is used to solve the quadratic programming subproblems. Although the objective only has a locally Lipschitz gradient, global convergence and local superlinear...
متن کاملNewton's Method for Quadratic Stochastic Programs with Recourse 1
Quadratic stochastic progr ms (QSP) with recourse ca be formulate s nonlinear co ve progr mming probl ms. By attaching a Larange ultiplier vector to the nonlinear convex program, we rewrite the problem as a ystem of nonsmooth equations. We co sid a Newton-like method for solving he system and establish global c nverg nce a d l c superlinear co vergence of the method. Several methods f r special...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Computational Management Science
سال: 2018
ISSN: 1619-697X,1619-6988
DOI: 10.1007/s10287-018-0330-0