Approximate nonlinear programming algorithms for solving stochastic programs with recourse

DOI10.1007/BF02204858zbMath0747.90072MaRDI QIDQ1176854

Jinde Wang

Publication date: 25 June 1992

Published in: Annals of Operations Research (Search for Journal in Brave)

zbMATH Keywords

Lagrange multiplierapproximation methodreduced gradientfeasible directionstochastic programs with recourse

Mathematics Subject Classification ID

Numerical mathematical programming methods (65K05) Nonlinear programming (90C30) Stochastic programming (90C15) Computational methods for problems pertaining to operations research and mathematical programming (90-08)

Related Items

An SQP-type method and its application in stochastic programs

Cites Work

• Approximations to stochastic programs with complete fixed recourse
• Lipschitz continuity of objective functions in stochastic programs with fixed recourse and its applications
• Designing approximation schemes for stochastic optimization problems, in particular for stochastic programs with recourse
• Algorithms for stochastic programs: The case of nonstochastic tenders
• Solving stochastic programming problems with recourse including error bounds
• Approximate feasible direction method for stochastic programming problems with recourse. linear inequality deterministic constraints
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