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General Information |
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| Authors: | Z Wei L Qi X Chen |
| Institution: | (1) Department of Mathematics and Information Science, Guangxi University, Nanning, Guangxi, PRC;(2) Department of Applied Mathematics, Hong Kong Polytechnic University, Hung Hom, Kowloon, Hong Kong;(3) Department of Mathematics and Computer Science, Shimane University, Mastue, Japan |
| 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 |
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