An exact penalty algorithm for recourse-constrained stochastic linear programs

DOI10.1016/0096-3003(92)90055-6zbMATH Open0756.65095OpenAlexW2038861056WikidataQ128099387 ScholiaQ128099387MaRDI QIDQ1194451FDOQ1194451

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

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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)

Cites Work

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• Stochastic Programs with Fixed Recourse: The Equivalent Deterministic Program
• L-Shaped Linear Programs with Applications to Optimal Control and Stochastic Programming
• An approach to nonlinear programming
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• Stochastic Decomposition: An Algorithm for Two-Stage Linear Programs with Recourse
• stochastic quasigradient methods and their application to system optimization^†
• Decomposition and Partitioning Methods for Multistage Stochastic Linear Programs
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• A set of staircase linear programming test problems

Cited In (11)

• Title not available (Why is that?)
• Decomposition and Partitioning Methods for Multistage Stochastic Linear Programs
• Title not available (Why is that?)
• 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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