A decomposition Algorithm for Solving Stochastic Multi-Level Large Scale Quadratic Programming Problem

Authors

O. E. Emam, Department of Information Systems, Faculty of Computers and Information, Helwan University, P.O. Box 11795, EgyptFollow
S. A. Kholeif, Department of Information Systems, Faculty of Computers and Information, Helwan University, P.O. Box 11795, EgyptFollow
S. M. Azzam, Department of Information Systems, Faculty of Computers and Information, Helwan University, P.O. Box 11795, EgyptFollow

Author Country (or Countries)

Egypt

Abstract

We present a decomposition algorithm to solve a multi-level large scale quadratic programming problem with stochastic parameters in the objective functions. In the first phase of the solution algorithm and to avoid the complexity of this problem, the stochastic nature of the problem is converted into the equivalent crisp problem. In the second phase, Taylor series is combined with a decomposition algorithm to obtain the optimal solution for this problem. An illustrative example is discussed to demonstrate the correctness of the proposed solution method.

Recommended Citation

E. Emam, O.; A. Kholeif, S.; and M. Azzam, S. (2015) "A decomposition Algorithm for Solving Stochastic Multi-Level Large Scale Quadratic Programming Problem," Applied Mathematics & Information Sciences: Vol. 09: Iss. 4, Article 19.
Available at: https://digitalcommons.aaru.edu.jo/amis/vol09/iss4/19