ALBERT — All Library Books, journals and Electronic Records Telegrafenberg

Hits per page

hits 1 - 2 | 2 hits

Sorting

Electronic Resource

A penalty function approach for solving bi-level linear programs (1993)

White, D. J. ; Anandalingam, G.

Springer

Journal of global optimization 3 (1993), S. 397-419

add to mindlist on the mindlist

Details

ISSN: 1573-2916

Keywords: Bi-level programming ; penalty function ; non-convex optimisation

Source: Springer Online Journal Archives 1860-2000

Topics: Mathematics

Notes: Abstract The paper presents an approach to bi-level programming using a duality gap—penalty function format. A new exact penalty function exists for obtaining a global optimal solution for the linear case, and an algorithm is given for doing this, making use of some new theoretical properties. For each penalty parameter value, the central optimisation problem is one of maximising a convex function over a polytope, for which a modification of an algorithm of Tuy (1964) is used. Some numerical results are given. The approach has other features which assist the actual decisionmaking process, which make use of the natural roles of duality gaps and penalty parameters. The approach also allows a natural generalization to nonlinear problems.

Type of Medium: Electronic Resource

URL: http://dx.doi.org/10.1007/BF01096412

Permalink

	Location	Call Number	Expected	Availability

Others were also interested in ...

Paper (German National Licenses)

Fulltext

Electronic Resource

A mathematical programming approach to a problem in variance penalised Markov decision processes (1994)

White, D. J.

Springer

OR spectrum 15 (1994), S. 225-230

add to mindlist on the mindlist

Details

ISSN: 1436-6304

Keywords: Markov decision processes ; ɛ-optimal ; variance ; Markov'sche Entscheidungsprozesse ; ɛ-Optimalität ; Gewinnvarianz

Source: Springer Online Journal Archives 1860-2000

Topics: Mathematics , Economics

Description / Table of Contents: Zusammenfassung In dieser Arbeit geben wir drei Algorithmen zur Lösung eines stochastischen dynamischen Problems an. Dabei wird ein optimaler Ausgleich zwischen erwartetem Gewinn und Gewinnvarianz pro Zeiteinheit gesucht. Die Algorithmen liefern für beliebigesɛ〉0 jeweilsɛ-optimale Lösungen.

Notes: Abstract In this paper we present three algorithms for solving a problem in which it is required to get an optimal compromise between the average expected reward per unit time and the variance of the reward per unit time. The algorithms lead to anɛ-optimal solution, whereɛ〉0 is arbitrary.