Epsilon-projection method for two-stage SLP
Leonidas Sakalauskas
Institute of Mathematics and Informatics
Kęstutis Žilinskas
Šiauliai University
Published 2008-12-21


stochastic programming
Monte Carlo method
stochastic gradient
statistical criteria
epsilon-feasible direction

How to Cite

Sakalauskas L. and Žilinskas K. (2008) “Epsilon-projection method for two-stage SLP”, Lietuvos matematikos rinkinys, 48(proc. LMS), pp. 320–326. doi: 10.15388/LMR.2008.18117.


In this paper, a stochastic adaptive method with the ε-projection for stochastic gradient has been developed to solve two-stage stochastic linear problems. The method is based on the adaptive regulation of the size of Monte-Carlo samples and a statistical termination procedure taking into consideration the statistical modelling accuracy. To avoid “jamming” or “zigzagging” in solving the constraint problem the procedure for stochasticgradient epsilon-projectionhas been implemented. Four algorithms of the epsilonprojection are tested by the computer simulation. The recommendationsto solve two-stage stochasticlinear problems are made under the numerical study and results of solving the test examples.

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