Simple Technique of Projected Lagrange for a Class of Multi-Stage Stochastic Nonlinear Programs

Ihda Hasbiyati, Saib Suwilo

Abstract

This paper presents a techniq for solving multi-stage stochastic nonlinear programs. The techniq is based on projected lagrange approach which generates the search direction by solving parallelly a set of quadratic programming subproblems with size much less than the original problem at each iteration. Mathamatically, can be pointed out that Lagrange’s projection method can solve problem multi-stage stochastic nonlinear programs.