AUGMENTED LAGRANGIAN METHOD FOR RECOURSE PROBLEM OF TWO-STAGE STOCHASTIC LINEAR PROGRAMMING

被引：0

作者：

Ketabchi, Saeed ^{[1
]}

Behboodi-Kahoo, Malihe ^{[1
]}

机构：

[1] Guilan Univ, Dept Appl Math, Fac Math Sci, Rasht, Iran

来源：

KYBERNETIKA | 2013年 / 49卷 / 01期

关键词：

two-stage stochastic linear programming; recourse problem; normal solution; augmented Lagrangian method; DECOMPOSITION;

D O I：

暂无

中图分类号：

TP3 [计算技术、计算机技术];

学科分类号：

0812 ;

摘要：

In this paper, the augmented Lagrangian method is investigated for solving recourse problems and obtaining their normal solution in solving two-stage stochastic linear programming problems. The objective function of stochastic linear programming problem is piecewise linear and non-differentiable. Therefore, to use a smooth optimization methods, the objective function is approximated by a differentiable and piecewise quadratic function. Using quadratic approximation, it is required to obtain the least 2-norm solution for many linear programming problems in each iteration. To obtain the least 2-norm solution for inner problems based on the augmented Lagrangian method, the generalized Newton method is applied.

引用

页码：188 / 198

页数：11

共 27 条

[1] MINIMIZATION OF FUNCTIONS HAVING LIPSCHITZ CONTINUOUS FIRST PARTIAL DERIVATIVES [J].

ARMIJO, L .

PACIFIC JOURNAL OF MATHEMATICS, 1966, 16 (01) :1-&

[2] Partitioning procedures for solving mixed-variables programming problems [J].

Benders, J. F. .

COMPUTATIONAL MANAGEMENT SCIENCE, 2005, 2 (01) :3-19

[3]

Birge J.R., 1997, SPRINGER SERIES OPER

[4]

Birge J. R., 1994, NEWTON METHOD STOCHA

[5]

Branda M, 2012, KYBERNETIKA, V48, P105

[6] Newton-type methods for stochastic programming [J].

Chen, X .

MATHEMATICAL AND COMPUTER MODELLING, 2000, 31 (10-12) :89-98

[7]

Chen X., 1995, COMPUTATIONAL TECHNI, P67

[8] A parallel inexact Newton method for stochastic programs with recourse [J].

Chen, XJ ;

Womersley, RS .

ANNALS OF OPERATIONS RESEARCH, 1996, 64 :113-141

[9] Random test problems and parallel methods for quadratic programs and quadratic stochastic programs [J].

Chen, XJ ;

Womersley, RS .

OPTIMIZATION METHODS & SOFTWARE, 2000, 13 (04) :275-306

[10] NEWTONS METHOD FOR QUADRATIC STOCHASTIC PROGRAMS WITH RECOURSE [J].

CHEN, XJ ;

QI, LQ ;

WOMERSLEY, RS .

JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS, 1995, 60 (1-2) :29-46

← 1 2 3 →