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A parallel inexact newton method for stochastic programs with recourse

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Abstract

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 convergence of the method are established. Furthermore, the method provides an error estimate which does not require much extra computation. The performance of the method is illustrated on a CM5 parallel computer.

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Authors and Affiliations

  1. School of Mathematics, University of New South Wales, 2052, Sydney, NSW, Australia

    Xiaojun Chen & Robert S. Womersley

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  1. Xiaojun Chen
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  2. Robert S. Womersley
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Additional information

This work was supported by the Australian Research Council and the numerical experiments were done on the Sydney Regional Centre for Parallel Computing CM5.

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Chen, X., Womersley, R.S. A parallel inexact newton method for stochastic programs with recourse. Ann Oper Res 64, 113–141 (1996). https://doi.org/10.1007/BF02187643

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