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

DOI10.1016/J.AMC.2015.05.007MaRDI QIDQ669327zbMATH OpenOpenAlexFDO

Authors Malihe Behboodi-Kahoo, Saeed Ketabchi

Publication date 15 March 2019

Published in Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.amc.2015.05.007

zbMATH Keywords

projection methodaugmented Lagrangian methodL-shaped methodrecourse problemtwo-stage stochastic linear programming

Mathematics Subject Classification ID

Quadratic programming (90C20) Linear programming (90C05) Large-scale problems in mathematical programming (90C06) Stochastic programming (90C15)

Recommendations

• Adaptive and nonadaptive approaches to statistically based methods for solving stochastic linear programs: a computational investigation
• An enhanced L-shaped method for optimizing periodic-review inventory control problems modeled via two-stage stochastic programming
• A new decomposition technique in solving multistage stochastic linear programs by infeasible interior point methods
• scientific article; zbMATH DE number 6160116
• Parallel implementation of augmented Lagrangian method within L-shaped method for stochastic linear programs

Cites work

• scientific article; zbMATH DE number 663895 (Why is no real title available?)
• scientific article; zbMATH DE number 2121076 (Why is no real title available?)
• scientific article; zbMATH DE number 6160116 (Why is no real title available?)
• L-Shaped Linear Programs with Applications to Optimal Control and Stochastic Programming
• A New Active Set Algorithm for Box Constrained Optimization
• A Newton method for linear programming
• Augmented Lagrangian method for large-scale linear programming problems
• Decomposition Principle for Linear Programs
• Decomposition and Partitioning Methods for Multistage Stochastic Linear Programs
• Generalized Hessian matrix and second-order optimality conditions for problems with \(C^{1,1}\) data
• Introduction to Stochastic Programming
• Linear programming under uncertainty
• Minimization of functions having Lipschitz continuous first partial derivatives
• On the solution set of convex problems and its numerical application
• Partitioning procedures for solving mixed-variables programming problems
• Scalable parallel Benders decomposition for stochastic linear programming
• Stochastic Decomposition: An Algorithm for Two-Stage Linear Programs with Recourse

Cited in

(8)

• scientific article; zbMATH DE number 6160116 (Why is no real title available?)
• Method of empirical means in stochastic programming problems
• Adaptive and nonadaptive approaches to statistically based methods for solving stochastic linear programs: a computational investigation
• On augmented Lagrangian decomposition methods for multistage stochastic programs
• Bias evaluation and reduction for sample-path optimization
• Enhancing explainability of stochastic programming solutions via scenario and recourse reduction
• A novel method of solving a quadratic programming problem under stochastic conditions
• An enhanced L-shaped method for optimizing periodic-review inventory control problems modeled via two-stage stochastic programming

This page was built for publication: Augmented Lagrangian method within L-shaped method for stochastic linear programs

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q669327)