An exact penalty algorithm for recourse-constrained stochastic linear programs

DOI10.1016/0096-3003(92)90055-6zbMath0756.65095OpenAlexW2038861056WikidataQ128099387 ScholiaQ128099387MaRDI QIDQ1194451

Diana S. Yakowitz

Publication date: 27 September 1992

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0096-3003(92)90055-6

zbMATH Keywords

numerical examplesstochastic linear programmingexact penalty algorithmrecourse-constrained stochastic linear programsstochastic decomposition algorithm

Mathematics Subject Classification ID

Numerical mathematical programming methods (65K05) Linear programming (90C05) Stochastic programming (90C15)

Related Items (2)

NONLINEAR BEHAVIOR OF TUNED ROTOR-AMB SYSTEM WITH TIME VARYING STIFFNESS ⋮ A regularized stochastic decomposition algorithm for two-stage stochastic linear programs

Cites Work

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• An approach to nonlinear programming
• stochastic quasigradient methods and their application to system optimization^†
• Decomposition and Partitioning Methods for Multistage Stochastic Linear Programs
• A set of staircase linear programming test problems
• Stochastic Decomposition: An Algorithm for Two-Stage Linear Programs with Recourse
• Stochastic Programs with Fixed Recourse: The Equivalent Deterministic Program
• L-Shaped Linear Programs with Applications to Optimal Control and Stochastic Programming

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