Recourse-based Stochastic Nonlinear Programming: Properties and Benders-SQP Algorithms

In this paper, we study recourse-based stochastic nonlinear programs and make two sets of contributions. The first set assumes general probability spaces and provides a deeper understanding of feasibility and recourse in stochastic nonlinear programs. A sufficient condition, for equality between the sets of feasible first-stage decisions arising from two different interpretations of almost sure feasibility, is provided. This condition is an extension to nonlinear settings of the “W-condition, ” first suggested by Walkup and Wets [65]. Notions of complete and relatively-complete recourse for nonlinear stochastic programs are defined and simple sufficient conditions for these to hold are given. Implications of these results on the L-shaped method are discussed. Our second set of contributions lies in the construction of a scalable, superlinearly convergent method for solving this class of problems, under the setting of a finite sample-space. We present a novel hybrid algorithm that combines sequential quadratic programming (SQP) and Benders decomposition. In this framework, the resulting quadratic programming approximations while arbitrarily large, are observed to be two-period stochastic quadratic programs (QPs) and are solved through two variants of Benders decomposition. The first is based on an inexact-cut L-shaped method for stochastic quadratic programming [55, 57] while the second is a quadratic extension to a trust-region method suggested by Linderoth and Wright in [42]. Obtaining Lagrange multiplier estimates in this framework poses a unique challenge and are shown to be cheaply obtainable through the solution of a single low-dimensional QP. Globalization of the method is achieved through a parallelizable linesearch procedure. Finally, the efficiency and scalability of the algorithm are demonstrated on a set of stochastic nonlinear programming test problems.