An Approximation-exact Penalty Function Method of Solving Single Stage Stochastic Programming

Abstract:

An approximation-exact penalty function method for solving single stage stochastic programming is presented.Firstly,the determinate nonlinear programming sequences are obtained by means of discretizing random variable.Secondly,an exact penalty function and an unconstrained optimization are constructed correspondingly.Under lenient conditions,some equivalent properties between the determinate nonlinear programming and the unconstrained optimization are proved,and the solution sequence of the determinate nonlinear programming converges to solution to the original problem in some sense.

Key words:single stage stochastic programming; discretization; exact penalty function; convergence