Augmented Lagrangian method within L-shaped method for stochastic linear programs

Saeed Ketabchi and Malihe Behboodi-Kahoo

Applied Mathematics and Computation, 2015, vol. 266, issue C, 12-20

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.

Keywords: Two-stage stochastic linear programming; Recourse problem; L-shaped method; Augmented Lagrangian method; Projection method (search for similar items in EconPapers)
Date: 2015
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Persistent link: https://EconPapers.repec.org/RePEc:eee:apmaco:v:266:y:2015:i:c:p:12-20

DOI: 10.1016/j.amc.2015.05.007

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