| 方案聚合算法的终止准则 |
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| 引用本文： | 颜铁成. 方案聚合算法的终止准则[J]. 苏州科技学院学报(社会科学版), 1990, 0(Z1) |
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| 作者姓名： | 颜铁成 |
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| 作者单位： | 铁道师院数学系 |
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| 摘 要： | 本文对Rockafellar和Wets提出的解随机规划的方案聚合算法给出了一个“上、下界终止准则”,克服了原准则有时不收敛到最优解的缺点,同时给出了一个加速收敛的“平均乘子”法,从而对方案聚合算法做出了重要的改进。
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| 关 键 词： | 随机规划 方案聚合方法 二阶段及多阶段随机规划问题 对偶乘子 |
On Termination Criterion of Scenario Aggregation Method |
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| Yan Tie-cheng. On Termination Criterion of Scenario Aggregation Method[J]. Journal of University of Science and Technology of Suzhou:Social Science, 1990, 0(Z1) |
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| Authors: | Yan Tie-cheng |
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| Affiliation: | Yan Tie-cheng |
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| Abstract: | An"upper-lower bound termination Criterion" is glven in this paper for"Scenario Aggregation Method" which is used for s-olving stochastic programming and was presented by Rockafellar and Wetse The new criterion overcomes the shortcoming in original criteri-on that it did not some time converge to optimal solution. Moreover, an"average multiplier"method Which speeds uP convergence is raised, thereby an important improvement in SAM is made. |
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| Keywords: | stochastic programming Scenario Aggregation Method two and multistage stochastic programs dual muitiplier. |
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