Statistical verification of optimality conditions for stochastic programs with recourse (Q1178441)
From MaRDI portal
!
This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use the normal view instead:
scientific article; zbMATH DE number 21673
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Statistical verification of optimality conditions for stochastic programs with recourse |
scientific article; zbMATH DE number 21673 |
Statements
Statistical verification of optimality conditions for stochastic programs with recourse (English)
0 references
26 June 1992
0 references
The papers deals with a solution algorithm for stochastic linear programming problems with recourse and continues an earlier paper of the authors [Math. Oper. Res. 16, No. 3, 650-669 (1991; Zbl 0746.90045)] in which a numerical (stochastic decomposition) algorithm was introduced. The aim of this paper is to suggest a termination rule for this algorithm. The presented termination rules are based on Kuhn-Tucker optimality conditions and on Lagrangian duality. This subdifferential properties of the optimized functions and corresponding statistical estimates are employed as well. An illustration example is presented at the end of the paper.
0 references
stochastic linear programming
0 references
recourse
0 references
Kuhn-Tucker optimality conditions
0 references
Lagrangian duality
0 references
0 references
0 references
0.8218156695365906
0 references
0.8085213303565979
0 references
0.8048545122146606
0 references
0.7990526556968689
0 references
