| 对方案聚合方法的两点改进 |
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| 引用本文： | 颜铁成.对方案聚合方法的两点改进[J].高等学校计算数学学报,1999,21(3):283-288. |
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| 作者姓名： | 颜铁成 |
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| 作者单位： | 苏州铁道师范学院 |
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| 摘 要： | １引言Ｒｏｃｋａｆｅｌｌａｒ和Ｗｅｔｓ共同提出的方案聚合方法（ＳｃｅｎａｒｉｏＡｇｇｒｅｇａｔｉｏｎＭｅｔｈｏｄ,简称ＳＡＭ）［１］已被公认为是解决随机规划的行之有效的且具有极大潜力的好方法．这种方法与以前的逼近方法完全不同,它将含有多阶段条件期望值的复杂的优化问题分解为一系列相对简单的确定性的平行的子问题,把子问题的最优解“聚合”起来做为原问题最优解的估计值．许多计算结果表明［２］［３］,这种方法是独特的、可行的．然而正如两位杰出的作者在［１］中指出的,这种方法还有很大的改进余地,这也正是ＳＡ…
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| 关 键 词： | 方案聚合法 随机规划 SAM 上下界终止准则 |
TWO ASPECTS OF IMPROVEMENT ON SCENARIO AGGREGATION METHOD |
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| Yan Tiecheng.TWO ASPECTS OF IMPROVEMENT ON SCENARIO AGGREGATION METHOD[J].Numerical Mathematics A Journal of Chinese Universities,1999,21(3):283-288. |
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| Authors: | Yan Tiecheng |
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| Institution: | Suzhou Railway Teachers' College |
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| Abstract: | An "uper-lower bound termination criterion" is given for Scenario Aggregation Method which was presented by Rockafellar and Wets in 1991. The new criterion overcomes the shortcoming in original criterion. Moreover, an "average multiplier method" which speeds up convergence is raised, there by an improvement on SAM from two aspects is made. |
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| Keywords: | Scenario Aggregation Method stochastri programming dual multiplier |
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