L-shaped algorithm for two stage problems of stochastic convex programming |
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| Authors: | Hengyong Tang Yufang Zhao |
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| Institution: | 1. Department of Mathematics, Shenyang Normal University, 110034, Shenyang, Liaoning, P.R. China
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| Abstract: | In this paper we study two stage problems of stochastic convex programming. Solving the problems is very hard. A L-shaped method for it is given. The implement of the algorithm is simple, so less computation work is needed. The result of computation shows that the algorithm is effective. |
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