两阶段随机规划的若干算法及应用研究-概率论与数理统计专业论文.docxVIP

山东科技大学硕士学位论文摘要 山东科技大学硕士学位论文 摘要 摘 要 本文系统阐述了随机规划问题的产生和发展，总结和分析了近年来随机规划领域的 研究成果。在前人研究的基础上，对两阶段随机规划问题的新算法及其在实际中的应用 进行了研究，特别是对求解两阶段随机规划问题的自适应多切割聚合算法和水平分解算 法进行了深入探讨。全文共分四章，各章内容安排如下： 第一章，阐述了随机规划问题的产生、发展过程及其分类，并概括介绍了求解此问 题的一般方法和近年来的研究现状。 第二章，简要介绍了求解随机规划问题的割平面方法和多切割算法，特别详细介绍 了自适应多切割聚合算法；将自适应多切割聚合算法推广到了两阶段随机凸规划问题上， 提出了两阶段随机凸规划问题的自适应多切割聚合算法，并证明了算法的收敛性。 第三章，通过引入新变量将标准的两阶段随机规划问题转化成与之等价的约束优化 问题，使转化后的问题具有良好的凸性和 Lipschitz 连续性。给出了两阶段随机规划问题 的近似水平分解算法,在此基础上将水平分解方法推广应用到随机凸二次规划问题上，最 后，证明了该算法的收敛性。 第四章，以具体的生产供应计划活动为背景，基于随机规划理论，建立了库存-运输 问题的两阶段随机规划模型，并用第二章中给出的方法求解此库存-运输模型，结果表明 算法是有效的。 关键词：两阶段随机规划，自适应多切割聚合，水平分解，近似水平分解，二次规划 ABSTRACT This paper introduces the development of stochastic programming systematically while summarizing and analyzing the fruits on this field during the past. Based on the study of some researchers, we study several new algorithms and its applications for two-stage stochastic programming, especially on how to apply adaptive multicut aggregation method and level decomposition to two-stage stochastic programming. The whole paper contains four chapters, and it is arranged as follows: In the first chapter, we summarily introduce the development and the current research situation as well as classification stochastic programming. In the second chapter, we introduce the cutting plane method and multicut method for stochastic programming, especially analyzing the adaptive multicut aggregation method. We extend this method to solving two-stage stochastic convex programming and give the convergence proof. In the third chapter, we transform the standard stochastic programming model to special model which is equivalent to standard model by introducing new variables to the standard model. The transformed problem is convex and lipschitz continuous. We introduce the inexact level method to solving two-stage stochastic programming, then we extend the level method to solving stochastic quadratic programming and give the convergence proofs. In the last chapter, with stochastic programmin