Title Epsilon-projection method for two-stage SLP /
Translation of Title Epsilon-projektavimo metodas dviejų etapų stochastiniam tiesiniam programavimui.
Authors Sakalauskas, Leonidas ; Žilinskas, Kęstutis
DOI 10.15388/LMR.2008.18117
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Is Part of Lietuvos matematikos rinkinys. 2008, t. 48/49, p.320-326.. ISSN 0132-2818
Keywords [eng] stochastic programming ; Monte Carlo method ; optimization ; stochastic gradient ; statistical criteria ; epsilon-feasible direction ; epsilon-projection
Abstract [eng] In this paper, a stochastic adaptivemethod 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 stochastic gradient epsilon-projectionhas been implemented. Four algorithms of the epsilonprojection are tested by the computer simulation. The recommendations to solve two-stage stochastic linear problems are made under the numerical study and results of solving the test examples.
Type Journal article
Language English
Publication date 2008
CC license CC license description