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 
Article
  • 31 Downloads

Abstract

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.

Keywords

Approximation Method Stochastic Program Math Application Deterministic Constraint Multiplier Algorithm 

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References

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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

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