全球智库信息集成服务系统(G2TT): On Augmented Lagrangian Decomposition Methods for Multistage Stochastic Programs.

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来源类型	Monograph (IIASA Working Paper)
规范类型	论文
	On Augmented Lagrangian Decomposition Methods for Multistage Stochastic Programs.
	Rosa CH; Ruszczynski A
发表日期	1994
出版者	IIASA, Laxenburg, Austria: WP-94-125
出版年	1994
语种	英语
摘要	A general decomposition framework for large convex optimization problems based on augmented Lagrangians is described. The approach is then applied to multistage stochastic programming problems in two different ways: by decomposing the problem into scenarios and by decomposing it into nodes corresponding to stages. Theoretical convergence properties of the two approaches are derived and a computational illustration is presented.
主题	Optimization under Uncertainty (OPT)
URL	http://pure.iiasa.ac.at/id/eprint/4089/
来源智库	International Institute for Applied Systems Analysis (Austria)
资源类型	智库出版物
条目标识符	http://119.78.100.153/handle/2XGU8XDN/124213
推荐引用方式 GB/T 7714	Rosa CH,Ruszczynski A. On Augmented Lagrangian Decomposition Methods for Multistage Stochastic Programs.. 1994.