Epsilon-projection method for two-stage SLP
Articles
Leonidas Sakalauskas
Institute of Mathematics and Informatics
Kęstutis Žilinskas
Šiauliai University
Published 2008-12-21
https://doi.org/10.15388/LMR.2008.18117
PDF

Keywords

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

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.

Abstract

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.

PDF
Creative Commons License

This work is licensed under a Creative Commons Attribution 4.0 International License.

Please read the Copyright Notice in Journal Policy

Most read articles by the same author(s)