Acta Mathematicae Applicatae Sinica

, Volume 8, Issue 3, pp 207–213 | Cite as

Approximate Lagrange multiplier algorithm for stochastic programs with complete recourse: Nonlinear deterministic constraints

  • Shi Xiaofa 
  • Wang Jinde 


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.


Approximation Method Stochastic Program Math Application Deterministic Constraint Multiplier Algorithm 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.


Unable to display preview. Download preview PDF.

Unable to display preview. Download preview PDF.


  1. [1]
    J. Birge, R. Wets, Designing Approximation Schemes for Stochastic Optimization Problems, in Particular for Stochastic Programs with Recourse,Mathematical Programming Study,27 (1986), 54–102.Google Scholar
  2. [2]
    K. Bertsekas, Constrained Optimization and Lagrange Multiplier Method, Academic Press, N.Y., 1982.Google Scholar
  3. [3]
    P. Attouch, Variational Convergence for Functions and Operators, Pitman, London, 1984.Google Scholar
  4. [4]
    P. Attouch, R. Wets, Approximation and Convergence in Nonlinear Optimization, in Nonlinear Programming 4, pp.367–394, eds. O. Mangasarian et al, Academic Press, N.Y., 1981.Google Scholar
  5. [5]
    R. Wets, Stochastic Programming: solution techniques of stochastic programming, in Mathematical Programming, The State-of-the Art, eds. A. Bachem et al., Springer Verlag, Berlin, 1983, pp.566–603.Google Scholar
  6. [6]
    J. Wang, Lipschitz Continuity of Objective Functions in Stochastic Programs with Fixed Recourse and Its Application,Mathematical Programming Study,27 (1986), 145–152.Google Scholar
  7. [7]
    Wang Jin-de, Differential Stability of the Objective Functions of Stochastic Linear Programs,Acta Mathematicae Applicatae Sinica,14(4) (1991), 484–490.Google Scholar

Copyright information

© Science Press 1992

Authors and Affiliations

  • Shi Xiaofa 
    • 1
  • Wang Jinde 
    • 2
  1. 1.Nanjing Institute of Food EconomicsNanjingChina
  2. 2.Nanjing UniversityNanjingChina

Personalised recommendations