An exact penalty algorithm for recourse-constrained stochastic linear programs
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摘要
This paper presents an algorithm for solving stochastic linear programs in which a recourse problem that appears in the constraint set. This algorithm, which is based on a stochastic decomposition (SD) algorithm of Higle and Sen, involves the use of an exact penalty function in the master program. Results from applications to several problems are reported.
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论文评审过程:Available online 22 March 2002.
论文官网地址:https://doi.org/10.1016/0096-3003(92)90055-6