沈阳大学学报（自然科学版）2016，Vol.28Issue(3)：250-255,6.
随机二阶锥规划问题的快速空间分解方法
A Fast Space Decomposition Method for Stochastic Second-Order Cone Programming Problem
摘要
Abstract
Sample average approximation (SAA)method based on the space decomposition method to solve stochastic second-order cone programming problem is discussed. Under some moderate conditions,the SAA solution converges to its true counterpart with probability approaching one and convergence is exponential fast with the increase of sample size.Based on the decomposition theory,a superlinear convergent algorithm frame is designed to solve the SAA problem.关键词
随机优化/二阶锥规划/样本均值近似/空间分解/超线性收敛Key words
stochastic optimization/second-order cone programming/sample average approximation/space decomposition/superlinear convergent分类
数理科学引用本文复制引用
陆媛..随机二阶锥规划问题的快速空间分解方法[J].沈阳大学学报（自然科学版）,2016,28(3):250-255,6.基金项目
国家自然科学基金资助项目(11301347) （11301347）
