Polynomial Approximation for Two Stage Stochastic Programming with Separable Objective

Lijia Chen and Dustin J. Banet
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Lijia Chen: Henan University, China
Dustin J. Banet: University of Louisville, USA

International Journal of Operations Research and Information Systems (IJORIS), 2010, vol. 1, issue 3, 75-88

Abstract: In this paper, the authors solve the two stage stochastic programming with separable objective by obtaining convex polynomial approximations to the convex objective function with an arbitrary accuracy. Our proposed method will be valid for realistic applications, for example, the convex objective can be either non-differentiable or only accessible by Monte Carlo simulations. The resulting polynomial is constructed by Bernstein polynomial and norm approximation models. At a given accuracy, the necessary degree of the polynomial and the replications are properly determined. Afterward, the authors applied the first gradient type algorithms on the new stochastic programming model with the polynomial objective, resulting in the optimal solution being attained.

Date: 2010
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Persistent link: https://EconPapers.repec.org/RePEc:igg:joris0:v:1:y:2010:i:3:p:75-88

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