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Augmented Lagrangian method within L-shaped method for stochastic linear programs

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  • Ketabchi, Saeed
  • Behboodi-Kahoo, Malihe

Abstract

Stochastic programming is an optimization technique used in the presence of uncertainty and it typically leads to very large problem sizes. In this paper, a modified version of the L-shaped method was used to solve two-stage stochastic linear programs with recourse, based on the projection method and the augmented Lagrangian method. Using this modified version of the L-shaped method allows us to reduce the number of iterations and the time of solving a two-stage stochastic linear program with fixed recourse, in comparison with traditional methods.

Suggested Citation

  • Ketabchi, Saeed & Behboodi-Kahoo, Malihe, 2015. "Augmented Lagrangian method within L-shaped method for stochastic linear programs," Applied Mathematics and Computation, Elsevier, vol. 266(C), pages 12-20.
    • Handle: RePEc:eee:apmaco:v:266:y:2015:i:c:p:12-20
    DOI: 10.1016/j.amc.2015.05.007
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    References listed on IDEAS

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