A Stochastic Newton Method forStochastic Quadratic Programs with Recourse 1
نویسندگان
چکیده
In this paper, we combine the inexact Newton method with the stochastic decomposition method and present a stochastic Newton method for solving two-stage stochastic programs. We prove that the new method is globally convergent and, if in addition, an integral approximation error bound condition holds, the convergence is superlinear (with probability one for random integration rules). The error bound only depends on the integration method at the current point.
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