求解随机凸规划概率约束问题的对偶算法  

A DUAL ALGORITHM FOR PROBABILISTIC CONSTRAINED PROBLEM OF STOCHASTIC CONVEX PROGRAMMING

作　　者：唐恒永[1] 赵传立[1] 

机构地区：[1]沈阳师范大学数学与系统科学学院,沈阳110034

出　　处：《高等学校计算数学学报》2008年第2期97-106,共10页Numerical Mathematics A Journal of Chinese Universities

基　　金：国家自然科学基金(10471096)

摘　　要：1 引言 随机规划中的概率约束问题在工程和管理中有广泛的应用．因为问题中包含非线性的概率约束，它们的求解非常困难．如果目标函数是线性的，问题的求解就比较容易．[5]给出了一个求解随机线性规划概率约束问题的综述．原一对偶算法[3]和切平面算法[6]是比较有效的．In this paper we study probabilistic constrained problem of stochastic convex programming and give a dual algorithm for it. The characteristic of the method is transforming difficult problems with nonlinear probabilistic constraints and convex objective functions into easier ones with linear constraints and convex objective functions by dual theory. So the solution can easily be implemented. The algorithm has good convergence properties. We have computed some sample problems. The result of computational experiment shows that the algorithm is feasible and effective.

关 键 词：概率约束 对偶算法 约束问题 随机规划 求解 凸规划 随机线性规划 目标函数 

分 类 号：O224[理学—运筹学与控制论] O221.2[理学—数学]