An exact penalty algorithm for recourse-constrained stochastic linear programs

DOI10.1016/0096-3003(92)90055-6MaRDI QIDQ1194451zbMATH OpenOpenAlexWikidataFDO

Authors 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)

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Cites work

• scientific article; zbMATH DE number 3169929 (Why is no real title available?)
• scientific article; zbMATH DE number 3815002 (Why is no real title available?)
• scientific article; zbMATH DE number 3744430 (Why is no real title available?)
• scientific article; zbMATH DE number 3626409 (Why is no real title available?)
• L-Shaped Linear Programs with Applications to Optimal Control and Stochastic Programming
• A set of staircase linear programming test problems
• An approach to nonlinear programming
• Decomposition and Partitioning Methods for Multistage Stochastic Linear Programs
• Stochastic Decomposition: An Algorithm for Two-Stage Linear Programs with Recourse
• Stochastic Programs with Fixed Recourse: The Equivalent Deterministic Program
• stochastic quasigradient methods and their application to system optimization^†

Cited in

(11)

• scientific article; zbMATH DE number 4081299 (Why is no real title available?)
• Decomposition and Partitioning Methods for Multistage Stochastic Linear Programs
• scientific article; zbMATH DE number 4070203 (Why is no real title available?)
• A regularized stochastic decomposition algorithm for two-stage stochastic linear programs
• Exact penalization in stochastic programming -- calmness and constraint qualification
• Computational Algorithms for Convex Stochastic Programs with Simple Recourse
• NONLINEAR BEHAVIOR OF TUNED ROTOR-AMB SYSTEM WITH TIME VARYING STIFFNESS
• Smoothing techniques and augmented Lagrangian method for recourse problem of two-stage stochastic linear programming
• Exact penalty functions in single-stage stochastic programming¹
• Penalty function with memory for discrete optimization via simulation with stochastic constraints
• The solution of some stochastic two-stage problems

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