Mixing stochastic dynamic programming and scenario aggregation
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Publication:1918419
DOI10.1007/BF02187638zbMath0854.90104MaRDI QIDQ1918419
Nils Jacob Berland, Kjetil K. Haugen
Publication date: 31 July 1996
Published in: Annals of Operations Research (Search for Journal in Brave)
progressive hedging algorithmhybrid stochastic dynamic programmingmacroeconomic control theoryserial and parallel implementation
Stochastic programming (90C15) Economic growth models (91B62) Parallel numerical computation (65Y05)
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Cites Work
- Approximate scenario solutions in the progressive hedging algorithm. A numerical study with an application to fisheries management
- Structural properties of the progressive hedging algorithm
- Scenarios and Policy Aggregation in Optimization Under Uncertainty
- Solving multistage stochastic networks: An application of scenario aggregation
- Load Balancing in Hypercube Solution of Stochastic Optimization Problems
- Stochastic programs with recourse: A basic theorem for multistage problems
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