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)

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Cites Work

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