求解可分非线性不可微多阶段有补偿问题的对偶次梯度算法

A Dual Subgradient Algorithm for Solving Nonlinear Non-differentiable Multistage Problem with Recourse

本文将文［１］中的结果做进一步的推广与改进，给出了求解具有简单补偿的非线性不可微多阶段问题的广义对偶型次梯度算法。并证明了算法的收敛性。所给算法与文［１］中的算法一样，具有简单易行，计算量小且全局收敛等优点。

Abstract By extending and improving the results obtained in paper[1],a generalized dual subgradient algorithm for solving nonlinear non-differentiable multistage problem with simple recourse is derived and its global convergence is proved in this paper.Similar to the algorithm in paper[1],the algorithm is simple in implementation,numerically efficient and global convergent when compared with available algorithms.