| 来源类型 | Article |
| 规范类型 | 其他 |
| DOI | 10.1137/0804043 |
| An extension of the DQA algorithm to convex stochastic programs. | |
| Berger A; Mulvey J; Ruszczynski A | |
| 发表日期 | 1994 |
| 出处 | SIAM Journal on Optimization 4 (4): 735-753 |
| 出版年 | 1994 |
| 语种 | 英语 |
| 摘要 | The diagonal quadratic approximation (DQA) algorithm is extended for the case of risk-averse utility and other nonlinear functions associated with stochastic programs. The method breaks the stochastic program into a sequence of smaller quadratic programming subproblems that can be executed in parallel. Each subproblem is solved approximately by means of a convex version of a primal-dual interior-point code (LOQO). Convergence of the distributed DQA method is discussed. |
| 主题 | Optimization under Uncertainty (OPT) |
| URL | http://pure.iiasa.ac.at/id/eprint/3868/ |
| 来源智库 | International Institute for Applied Systems Analysis (Austria) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/127259 |
| 推荐引用方式 GB/T 7714 | Berger A,Mulvey J,Ruszczynski A. An extension of the DQA algorithm to convex stochastic programs.. 1994. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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