• Title/Summary/Keyword: La-grangian multipliers

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L-SHAPED ALGORITHM FOR TWO STAGE PROBLEMS OF STOCHASTIC CONVEX PROGRAMMING

  • Tang, Hengyong;Zhao, Yufang
    • Journal of applied mathematics & informatics
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    • v.13 no.1_2
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    • pp.261-275
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    • 2003
  • In this paper we study two stage problems of stochastic convex programming. Solving the problems is very hard. A L-shaped method for it is given. The implement of the algorithm is simple, so less computation work is needed. The result of computation shows that the algorithm is effective.