Structural properties of the progressive hedging algorithm (Q1176858)

The progressive hedging algorithm (which can be treated as a specialization of Rockafellar's proximal point algorithm) for solving multistage stochastic programs is based on the principle of scenario aggregation. To achieve efficiency of this aggregation the algorithm must use a scenario tree as a basis for its computations. A generic recursive algorithm for the progressive hedging algorithm is presented and procedures for the algorithm are given.