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Augmented Lagrangian method within L-shaped method for stochastic linear programs
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DOI：10.1016/j.amc.2015.05.007.png)
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Abstract
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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. (C) 2015 Elsevier Inc. All rights reserved.
Keywords:
Two-stage stochastic linear programming
Recourse problem
L-shaped method
Augmented Lagrangian method
Projection method
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