Department of Applied Mathematics, Faculty of Mathematical Sciences, University of Guilan, P.O. Box 416351914 Rasht, Iran
Academic Editor: Neal N. Xiong
Copyright © 2013 Saeed Ketabchi and Malihe Behboodi-Kahoo. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
The augmented Lagrangian method can be used for solving recourse problems
and obtaining their normal solution in solving two-stage stochastic linear
programming problems. The augmented Lagrangian objective function of
a stochastic linear problem is not twice differentiable which precludes the
use of a Newton method. In this paper, we apply the smoothing techniques
and a fast Newton-Armijo algorithm for solving an unconstrained smooth
reformulation of this problem. Computational results and comparisons are
given to show the effectiveness and speed of the algorithm.