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Smoothing Techniques and Augmented Lagrangian Method for Recourse Problem of Two-Stage Stochastic Linear Programming

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  • Saeed Ketabchi
  • Malihe Behboodi-Kahoo

Abstract

The augmented Lagrangian method can be used for solving recourse problems and obtaining their normal solution in solving two-stage stochastic linear programming problems. The augmented Lagrangian objective function of a stochastic linear problem is not twice differentiable which precludes the use of a Newton method. In this paper, we apply the smoothing techniques and a fast Newton-Armijo algorithm for solving an unconstrained smooth reformulation of this problem. Computational results and comparisons are given to show the effectiveness and speed of the algorithm.

Suggested Citation

  • Saeed Ketabchi & Malihe Behboodi-Kahoo, 2013. "Smoothing Techniques and Augmented Lagrangian Method for Recourse Problem of Two-Stage Stochastic Linear Programming," Journal of Applied Mathematics, Hindawi, vol. 2013, pages 1-8, June.
    • Handle: RePEc:hin:jnljam:735916
    DOI: 10.1155/2013/735916
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