A new interpretation of the progressive hedging algorithm for multistage stochastic minimization problems

DOI10.3934/jimo.2019022zbMath1449.65135WikidataQ128138688 ScholiaQ128138688MaRDI QIDQ2190299

Jie Sun, Min Zhang, Honglei Xu

Publication date: 18 June 2020

Published in: Journal of Industrial and Management Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/jimo.2019022

zbMATH Keywords

alternating direction method of multipliers; stochastic variational inequalities; progressive hedging algorithm; multistage stochastic optimization problems

Mathematics Subject Classification ID

65K10: Numerical optimization and variational techniques

90C15: Stochastic programming

65K15: Numerical methods for variational inequalities and related problems

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