An SQP Algorithm for Recourse-based Stochastic Nonlinear Programming

Xinshun Ma; Cunzhe Liu

An SQP Algorithm for Recourse-based Stochastic Nonlinear Programming

Xinshun Ma, Cunzhe Liu

Abstract

The stochastic nonlinear programming problem with completed recourse and nonlinear constraints is studied in this paper. We present a sequential quadratic programming method for solving the problem based on the certainty extended nonlinear model. This algorithm is obtained by combing the active set method and filter method. The convergence of the method is established under some standard assumptions. Moreover, a practical design is presented and numerical results are provided.

Keywords

stochastic programming; nonlinear constraints; SQP

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