Smoothing Techniques and Augmented Lagrangian Method for Recourse Problem of Two-Stage Stochastic Linear Programming. (6th June 2013)

• Record Type: Journal Article
• Authors: Ketabchi, Saeed; Behboodi-Kahoo, Malihe
• Other Names: Xiong Neal N. Academic Editor.
• Is Part Of: Journal of applied mathematics. Volume 2013(2013)
• Publication Date: 2013-06-06
• Subjects: Mathematics -- Periodicals; 519.05
• DOI: 10.1155/2013/735916
• Languages: English
• ISSNs: 1110-757X

Abstract

Abstract : The augmented Lagrangian method can be used for solving recourse problems and obtaining their normal solution in solving two-stage stochastic linear programming problems. The augmented Lagrangian objective function of a stochastic linear problem is not twice differentiable which precludes the use of a Newton method. In this paper, we apply the smoothing techniques and a fast Newton-Armijo algorithm for solving an unconstrained smooth reformulation of this problem. Computational results and comparisons are given to show the effectiveness and speed of the algorithm.