Solution of Stochastic Quadratic Programming with Imperfect Probability Distribution Using Nelder-Mead Simplex Method

Xinshun Ma, Xin Liu
2018 Journal of Applied Mathematics and Physics  
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
more » ... x method is proposed for solving the problem. Finally, a numerical example is given to demonstrate the efficiency of the algorithm.
doi:10.4236/jamp.2018.65095 fatcat:p5suimiaijcibiot2digck2xbu