Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
4626502 | Applied Mathematics and Computation | 2015 | 9 Pages |
Abstract
Stochastic programming is an optimization technique used in the presence of uncertainty and it typically leads to very large problem sizes. In this paper, a modified version of the L-shaped method was used to solve two-stage stochastic linear programs with recourse, based on the projection method and the augmented Lagrangian method. Using this modified version of the L-shaped method allows us to reduce the number of iterations and the time of solving a two-stage stochastic linear program with fixed recourse, in comparison with traditional methods.
Related Topics
Physical Sciences and Engineering
Mathematics
Applied Mathematics
Authors
Saeed Ketabchi, Malihe Behboodi-Kahoo,