| A NEW DETERMINISTIC FORMULATION FOR DYNAMIC STOCHASTIC PROGRAMMING PROBLEMS AND ITS NUMERICAL COMPARISON WITH OTHERS |
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| 作者姓名： | 陈志平 |
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| 作者单位： | Department of |
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| 基金项目： | This research was partially supported by the Natural Science Research Foundation of Shaanxi Province(2001SL09) |
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| 摘 要： | A new deterministic formulation, called the conditional expectation formulation, is proposed for dynamic stochastic programming problems in order to overcome some disadvantages of existing deterministic formulations. We then check the impact of the new deterministic formulation and other two deterministic formulations on the corresponding problem size, nonzero elements and solution time by solving some typi
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A NEW DETERMINISTIC FORMULATION FOR DYNAMIC STOCHASTIC PROGRAMMING PROBLEMS AND ITS NUMERICAL COMPARISON WITH OTHERS |
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| Chen Zhiping.A NEW DETERMINISTIC FORMULATION FOR DYNAMIC STOCHASTIC PROGRAMMING PROBLEMS AND ITS NUMERICAL COMPARISON WITH OTHERS[J].Numerical Mathematics A Journal of Chinese Universities English Series,2003,12(2). |
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| Authors: | Chen Zhiping |
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| Institution: | Department of Scientific Computing and Applied Softwares,Faculty of Science,Xi'an Jiaotong University,Xi'an 710049,PRC |
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| Abstract: | A new deterministic formulation, called the conditional expectation formulation, is proposed for dynamic stochastic programming problems in order to overcome some disadvantages of existing deterministic formulations. We then check the impact of the new deterministic formulation and other two deterministic formulations on the corresponding problem size, nonzero elements and solution time by solving some typical dynamic stochastic programming problems with different interior point algorithms. Numerical results show the advantage and application of the new deterministic formulation. |
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| Keywords: | dynamic stochastic programming deterministic formulation interior point algorithms numerical comparison |
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