| 一种解带补偿的随机规划的逼近方法 |
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| 引用本文： | 孙德锋,王金德. 一种解带补偿的随机规划的逼近方法[J]. 计算数学, 1994, 16(1): 80-92 |
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| 作者姓名： | 孙德锋 王金德 |
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| 作者单位： | 中科院应用数学研究所(孙德锋)，南京大学数学系(王金德) |
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| 摘 要： | 其中f(x)∈C~1且f(x)为凸函数,A∈IR~(m×n),x∈IR~n,b∈IR~m.(1)的一般形式可用可行方向法(Topkis-Veinott情形)得到一个Fritz-John点.但当f(x)或△f(x)太复杂以致难以计算时,此方法就不适当.为此考虑逼近问题:
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| 关 键 词： | 随机规划 逼近 非线性规划 |
AN APPROXIMATE METHOD FOR STOCHASTIC PROGRAMMING WITH RECOURSE |
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| Affiliation: | Sun De-feng Wang Jin-de(Institute of Applied Mathematics Academia Sinica) (Dept. of Mathematics, Nanjing University) |
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| Abstract: | In this paper we give a method for solving special nonlinear programming by designing an inexact line search and combining the feasible direction method of Topkis-Veinott case and approximation theory in mathematical programming. In particular, our algorithm is suitable for solving stochastic programming with a complete recourse matrix. Moreover, a practical design is presented and numerical resits are provided. |
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