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

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Document pages: 9 pages

Abstract: Stochastic quadratic programming with recourse isone of the most important topics in the field of optimization. It is usuallyassumed that the probability distribution of random variables has completeinformation, but only part of the information can be obtained in practicalsituation. In this paper, we propose astochastic quadratic programming with imperfect probability distribution basedon the linear partial information (LPI) theory. A direct optimizing algorithmbased on Nelder-Mead simplex method is proposed for solving the problem.Finally, a numerical example is given to demonstrate the efficiency of thealgorithm.

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