In this paper we design an approximation method for solving stochastic programs with com-plete recourse and nonlinear deterministic constraints. This method is obtained by combiningapproximation method and Lagrange mu...In this paper we design an approximation method for solving stochastic programs with com-plete recourse and nonlinear deterministic constraints. This method is obtained by combiningapproximation method and Lagrange multiplier algorithm of Bertsekas type. Thus this methodhas the advantages of both the two.展开更多
基金This project is supported by the National Natural Science Foundation of China
文摘In this paper we design an approximation method for solving stochastic programs with com-plete recourse and nonlinear deterministic constraints. This method is obtained by combiningapproximation method and Lagrange multiplier algorithm of Bertsekas type. Thus this methodhas the advantages of both the two.
