AN ALGORITHM FOR L-SHAPED CONVEX PROGRAMMING

• 作 者: 唐恒永 赵玉芳
• 机 构: DepartmentofMathematicsShenyangNormalUniversity,DepartmentofMathematicsShenyangNormalUniversity
• 出 处: 高等学校计算数学学报：英文版
• 发表日期: 2004年1期
• 关键词: L-成型凸规划 线性规划 二重理论 拉格朗日乘数 有限凸函数 linear programmingconvex programmingdual theoryLa
• 基金项目: This work is supported by Science Research Foundation，the Education Department of Liaoning Province

In this paper we study L-shaped convex programming. An algorithm for it is given. The result of computation shows that the algorithm is effective. The algorithm can be applied to two stage problem of stochastic convex programming.