Structural properties of the progressive hedging algorithm (Q1176858)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Structural properties of the progressive hedging algorithm |
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Structural properties of the progressive hedging algorithm (English)
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25 June 1992
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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.
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progressive hedging
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proximal point algorithm
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multistage stochastic programs
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scenario aggregation
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generic recursive algorithm
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