An Implementable SAA Nonlinear Lagrange Algorithm for Constrained Minimax Stochastic Optimization Problems
Joint Authors
He, Suxiang
Wang, Chuanmei
Wu, Haiying
Source
Mathematical Problems in Engineering
Issue
Vol. 2018, Issue 2018 (31 Dec. 2018), pp.1-13, 13 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2018-12-09
Country of Publication
Egypt
No. of Pages
13
Main Subjects
Abstract EN
This paper proposes an implementable SAA (sample average approximation) nonlinear Lagrange algorithm for the constrained minimax stochastic optimization problem based on the sample average approximation method.
A computable nonlinear Lagrange function with sample average approximation functions of original functions is minimized and the Lagrange multiplier is updated based on the sample average approximation functions of original functions in the algorithm.
And it is shown that the solution sequences obtained by the novel algorithm for solving subproblem converge to their true counterparts with probability one as the sample size approximates infinity under some moderate assumptions.
Finally, numerical experiments are carried out for solving some typical test problems and the obtained numerical results preliminarily demonstrate that the proposed algorithm is promising.
American Psychological Association (APA)
Wang, Chuanmei& He, Suxiang& Wu, Haiying. 2018. An Implementable SAA Nonlinear Lagrange Algorithm for Constrained Minimax Stochastic Optimization Problems. Mathematical Problems in Engineering،Vol. 2018, no. 2018, pp.1-13.
https://search.emarefa.net/detail/BIM-1207989
Modern Language Association (MLA)
Wang, Chuanmei…[et al.]. An Implementable SAA Nonlinear Lagrange Algorithm for Constrained Minimax Stochastic Optimization Problems. Mathematical Problems in Engineering No. 2018 (2018), pp.1-13.
https://search.emarefa.net/detail/BIM-1207989
American Medical Association (AMA)
Wang, Chuanmei& He, Suxiang& Wu, Haiying. An Implementable SAA Nonlinear Lagrange Algorithm for Constrained Minimax Stochastic Optimization Problems. Mathematical Problems in Engineering. 2018. Vol. 2018, no. 2018, pp.1-13.
https://search.emarefa.net/detail/BIM-1207989
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1207989