Approximate Lagrange multiplier algorithm for stochastic programs with complete recourse: Nonlinear deterministic constraints
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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.
KeywordsApproximation Method Stochastic Program Math Application Deterministic Constraint Multiplier Algorithm
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