Article ID: | iaor19952299 |
Country: | Switzerland |
Volume: | 56 |
Issue: | 1 |
Start Page Number: | 251 |
End Page Number: | 285 |
Publication Date: | Jun 1995 |
Journal: | Annals of Operations Research |
Authors: | Qi Liqun, Womersley Robert S. |
Keywords: | programming: probabilistic |
Extended Linear-Quadratic Programming (ELQP) problems were introduced by Rockafellar and Wets for various models in stochastic programming and multistage optimization. Several numerical methods with linear convergence rates have been developed for solving fully quadratic ELQP problems, where the primal and dual coefficient matrices are positive definite. The authors present a two-stage sequential quadratic programming method for solving ELQP problems arising in stochastic programming. The first stage algorithm realizes global convergence and the second stage algorithm realizes superlinear local convergence under a condition called