Smoothing Techniques and Augmented Lagrangian Method for Recourse Problem of Two‐Stage Stochastic Linear Programming

Saeed Ketabchi and Malihe Behboodi-Kahoo

Journal of Applied Mathematics, 2013, vol. 2013, issue 1

Abstract: The augmented Lagrangian method can be used for solving recourse problems and obtaining their normal solution in solving two‐stage stochastic linear programming problems. The augmented Lagrangian objective function of a stochastic linear problem is not twice differentiable which precludes the use of a Newton method. In this paper, we apply the smoothing techniques and a fast Newton‐Armijo algorithm for solving an unconstrained smooth reformulation of this problem. Computational results and comparisons are given to show the effectiveness and speed of the algorithm.

Date: 2013
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https://doi.org/10.1155/2013/735916

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Persistent link: https://EconPapers.repec.org/RePEc:wly:jnljam:v:2013:y:2013:i:1:n:735916

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