Smoothing techniques and augmented Lagrangian method for recourse problem of two-stage stochastic linear programming

DOI10.1155/2013/735916MaRDI QIDQ364501zbMATH OpenOpenAlexDBLPWikidataFDO

Authors Saeed Ketabchi, Malihe Behboodi-Kahoo

Publication date 9 September 2013

Published in Journal of Applied Mathematics (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1155/2013/735916

Mathematics Subject Classification ID

Linear programming (90C05) Stochastic programming (90C15)

Review text

Summary: The augmented Lagrangian method can be used for solving recourse problems and obtaining their normal solution in solving two-stage stochastic linear programming problems. The augmented Lagrangian objective function of a stochastic linear problem is not twice differentiable which precludes the use of a Newton method. In this paper, we apply the smoothing techniques and a fast Newton-Armijo algorithm for solving an unconstrained smooth reformulation of this problem. Computational results and comparisons are given to show the effectiveness and speed of the algorithm.

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Cited in

(3)

• Smooth augmented Lagrangian method for twin bounded support vector machine
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• Parallel implementation of augmented Lagrangian method within L-shaped method for stochastic linear programs

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Uses Software

• SSVM

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