| 蒙特—卡罗方法在随机规划中的应用 |
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| 引用本文： | 曾建军,杨晓明.蒙特—卡罗方法在随机规划中的应用[J].安徽大学学报(自然科学版),1996,20(3):13-17. |
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| 作者姓名： | 曾建军 杨晓明 |
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| 作者单位： | 安徽大学数学系 |
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| 摘 要： | 提出一个用统计方法即蒙特－卡罗方法解随机线性规划的算法框架。对那些具有高维随机数的情况是一种很有前景的解算方法
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| 关 键 词： | 随机规划，重要抽样，统计方法 |
Statistical Method in Stochastic Programming |
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| Zeng,Jianjun,Yang,Xiaoming.Statistical Method in Stochastic Programming[J].Journal of Anhui University(Natural Sciences),1996,20(3):13-17. |
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| Authors: | Zeng Jianjun Yang Xiaoming |
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| Institution: | Department of Mathematics Anhui University Hefei 230039 |
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| Abstract: | If component m of random variable in SLP is little big,for example m=20,some traditional methods such as Banders decomposition algorithm will get out of control.The reason is the problems become too big to solve.Statistic simulation method uses samples to estimate the optimal solution.In some cases this is good method.This paper introduces a statistic simulation method and an algorithmic scheme. |
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| Keywords: | stochastic programming importance sampling statistic method |
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