Smoothing Techniques and Augmented Lagrangian Method for Recourse Problem of Two-Stage Stochastic Linear Programming
نویسندگان
چکیده
منابع مشابه
Augmented Lagrangian method for recourse problem of two-stage stochastic linear programming
The augmented Lagrangian method can be used for solving recourse problems and obtaining their normal solution in solving two-stage stochastic linear programming problems. The augmented Lagrangian objective function of a stochastic linear problem is not twice differentiable which precludes the use of a Newton method. In this paper, we apply the smoothing techniques and a fast Newton-Armijo algor...
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ژورنال
عنوان ژورنال: Journal of Applied Mathematics
سال: 2013
ISSN: 1110-757X,1687-0042
DOI: 10.1155/2013/735916