TITLE:
Solution of Stochastic Quadratic Programming with Imperfect Probability Distribution Using Nelder-Mead Simplex Method
AUTHORS:
Xinshun Ma, Xin Liu
KEYWORDS:
Stochastic Quadratic Programming, LPI, Nelder-Mead
JOURNAL NAME:
Journal of Applied Mathematics and Physics,
Vol.6 No.5,
May
31,
2018
ABSTRACT: Stochastic quadratic programming with recourse is
one of the most important topics in the field of optimization. It is usually
assumed that the probability distribution of random variables has complete
information, but only part of the information can be obtained in practical
situation. In this paper, we propose a
stochastic quadratic programming with imperfect probability distribution based
on the linear partial information (LPI) theory. A direct optimizing algorithm
based on Nelder-Mead simplex method is proposed for solving the problem.
Finally, a numerical example is given to demonstrate the efficiency of the
algorithm.