A Stochastic Newton Method for Stochastic Quadratic Programs with Recourse
نویسندگان
چکیده
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 can control the error bound h(N k) such that h(N k) = o(jjy k ? y jj).
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