| 一种改进Wolef-BFGS-SQP法对随机规划的研究 |
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| 引用本文： | 崔迪,孙祥斌,张伟. 一种改进Wolef-BFGS-SQP法对随机规划的研究[J]. 山东科技大学学报(自然科学版), 2005, 24(2): 94-96 |
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| 作者姓名： | 崔迪 孙祥斌 张伟 |
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| 作者单位： | 山东科技大学,信息科学与工程学院,山东,青岛,266510;山东工商学院,人事处,山东,烟台,264005 |
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| 基金项目： | 国家自然科学基金资助项目(10171055) |
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| 摘 要： | 基于拟蒙特卡洛随机模拟的Wolef—BFGS—SQP法对随机规划的再研究。对于求解LCI函数优化的BFGS—SQP算法，改用Wolef线性搜索原则，同样得到了该算法的全局收敛性，并把它推广到解决随机规划的问题上去。在随机模拟过程的处理上采用拟蒙特卡洛随机模拟技术，鉴于计算量比较大的问题，采用仅多加一个线性约束的信赖域技术计算，即可克服收敛慢等的缺点。
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| 关 键 词： | 随机规划 拟蒙特卡洛 随机模拟 Wolef-BFGS-SQP法 |
| 文章编号： | 1672-3767(2005)02-0094-03 |
| 修稿时间： | 2004-12-25 |
Study on Stochastic Programming with an Improved Wolef-BFGS-SQP Method |
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| CUI Di,SUN Xiang-bin,ZHANG Wei. Study on Stochastic Programming with an Improved Wolef-BFGS-SQP Method[J]. Journal of Shandong Univ of Sci and Technol: Nat Sci, 2005, 24(2): 94-96 |
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| Authors: | CUI Di SUN Xiang-bin ZHANG Wei |
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| Affiliation: | CUI Di~1,SUN Xiang-Bin~2,ZHANG Wei~1 |
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| Abstract: | This paper studies two-stage stochastic programming problem with a new Wolef-BFGS-SQP method based on the Quasi-Monte-Carlo stochastic simulation techniques. In particular, for the BFGS-SQP algorithm used to solve the LC function optimization, its global convergence of the algorithm can also be obtained by means of the Wolef linear search principle, which can be popularized to solve the stochastic programming problem. The Quasi-Monte-Carlo technology has been applied to handle the stochastic simulation process. Since the calculating amount is quite large, trust-region technology in which only one linear constraint is added can be used to overcome the slow convergence problem. |
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| Keywords: | stochastic programming Quasi-Monte-Carlo stochastic simulation Wolef-BFGS-SQP method |
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