Displaying similar documents to “Object library of algorithms for dynamic optimization problems: benchmarking SQP and nonlinear interior point methods”

Augmented Lagrangian method for recourse problem of two-stage stochastic linear programming

Saeed Ketabchi, Malihe Behboodi-Kahoo (2013)

Kybernetika

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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...