Approximation-exact penalty function method for solving a class of stochastic programming

DOI10.1007/BF02903670MaRDI QIDQ4658052zbMATH OpenOpenAlexFDO

Authors Guangmin Wang, Zhongping Wan

Publication date 14 March 2005

Published in Wuhan University Journal of Natural Sciences (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/bf02903670

Mathematics Subject Classification ID

Stochastic programming (90C15)

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Cites work

• Approximations to Stochastic Programs with Complete Recourse
• Convergence properties of two-stage stochastic programming
• Designing approximation schemes for stochastic optimization problems, in particular for stochastic programs with recourse
• Exact penalty functions in single-stage stochastic programming¹
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• Introduction to Stochastic Programming
• Measures as Lagrange multipliers in multistage stochastic programming
• Optimization and nonsmooth analysis
• Stochastic convex programming: basic duality

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(11)

• Exact penalization in stochastic programming -- calmness and constraint qualification
• Penalty function with memory for discrete optimization via simulation with stochastic constraints
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• The Entropic Penalty Approach to Stochastic Programming
• The solution of some stochastic two-stage problems
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• Exact penalty functions in single-stage stochastic programming¹
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