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Approximate nonlinear programming algorithms for solving stochastic programs with recourse
Authors:Jinde Wang
Institution:(1) Department of Mathematics, Nanjing University, P.R. China
Abstract:This paper summarizes the main results on approximate nonlinear programming algorithms investigated by the author. These algorithms are obtained by combining approximation and nonlinear programming algorithms. They are designed for programs in which the evaluation of the objective functions is very difficult so that only their approximate values can be obtained. Therefore, these algorithms are particularly suitable for stochastic programming problems with recourse.Project supported by the National Natural Science Foundation of China.
Keywords:Approximation  nonlinear programming algorithms  stochastic program with recourse
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