Approximate Lagrange multiplier algorithm for stochastic programs with complete recourse: Nonlinear deterministic constraints |
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| Authors: | Xiaofa Shi Jinde Wang |
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| Institution: | (1) Nanjing Institute of Food Economics, 21008 Nanjing, China;(2) Nanjing University, 210008 Nanjing, China |
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| Abstract: | In this paper we design an approximation method for solving stochastic programs with complete recourse and nonlinear deterministic constraints. This method is obtained by combining approximation method and Lagrange multiplier algorithm of Bertsekas type. Thus this method has the advantages of both the two.This project is supported by the National Natural Science Foundation of China. |
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