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Adaptive Multicut Aggregation Method for Solving Two-stage Stochastic Convex Programming with Recourse

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Author(s): Jingsheng Liu | Changyin Zhou | Xiuping Zhang

Journal: Modern Applied Science
ISSN 1913-1844

Volume: 2;
Issue: 5;
Date: 2009;
Original page

ABSTRACT
In this paper we extend directly adaptive multicut aggregation method of Svyatoslav Trukhanov, Lewis Ntaimo and Andrew Schaefer to solving two-stage problems of stochastic convex programming. The implement of the algorithm is simple, so less computation work is needed. The algorithm has certain convergence.

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