Structural properties of the progressive hedging algorithm

DOI10.1007/BF02204862zbMath0743.90085MaRDI QIDQ1176858

Stein W. Wallace, Thorkell Helgason

Publication date: 25 June 1992

Published in: Annals of Operations Research (Search for Journal in Brave)

zbMATH Keywords

scenario aggregationproximal point algorithmprogressive hedgingmultistage stochastic programsgeneric recursive algorithm

Mathematics Subject Classification ID

Stochastic programming (90C15) Computational methods for problems pertaining to operations research and mathematical programming (90-08)

Related Items (8)

Mixing stochastic dynamic programming and scenario aggregation ⋮ A review of OR practice in Iceland ⋮ Approximate scenario solutions in the progressive hedging algorithm. A numerical study with an application to fisheries management ⋮ Managing congestion in a multi-modal transportation network under biomass supply uncertainty ⋮ Stochastic programs with binary distributions: structural properties of scenario trees and algorithms ⋮ Dynamic portfolio optimization: time decomposition using the maximum principle with a scenario approach ⋮ Scheduled service network design with quality targets and stochastic travel times ⋮ A Progressive Hedging Approach for Surgery Planning Under Uncertainty

Cites Work

• Scenarios and Policy Aggregation in Optimization Under Uncertainty
• Solving multistage stochastic networks: An application of scenario aggregation
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