求解具有确定性线性不等式约束的有补偿随机规划问题的近似ε——容许方向法  

APPROXIMATE ε-ALLOW ABLE DIRECTION METHOD FOR SOLVING STOCHASTIC PROGRAMMING PROBLEM WITH RECOURSE LINEAR INEQUALITY DETERMINISTIC CONSTRAINTS

作　　者：万仲平[1] 纪昌明[1] 

机构地区：[1]武汉水利电力大学应用数学系,武汉430072

出　　处：《高等学校计算数学学报》1998年第1期82-88,共7页Numerical Mathematics A Journal of Chinese Universities

基　　金：国家自然科学基金资助(59579012)

摘　　要：1引言形如线性不等式确定性约束的有补偿随机规划问题In this paper we use the method of the cone spanned by the vectors that correspond to the generalized active epsilon constraints, obtained an improving feasible direction by solving a simple constraints lower dimensional linear programming subproblems. Hence we give a approximate algorithm and convergence analysis of the algorithm for solving stochastic programming problem with recourse.

关 键 词：随机规划 不等式约束 近似ε容许方向 解 

分 类 号：O221.5[理学—运筹学与控制论]