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

DOI10.3934/JIMO.2019022zbMATH Open1449.65135OpenAlexW2922145868WikidataQ128138688 ScholiaQ128138688MaRDI QIDQ2190299FDOQ2190299

Authors Jie Sun, H. Xu, Min Zhang 

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 multipliersstochastic variational inequalitiesprogressive hedging algorithmmultistage stochastic optimization problems

Mathematics Subject Classification ID

Numerical optimization and variational techniques (65K10) Stochastic programming (90C15) Numerical methods for variational inequalities and related problems (65K15)

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Cites Work

• A dual algorithm for the solution of nonlinear variational problems via finite element approximation
• Applications of the method of partial inverses to convex programming: Decomposition
• Hankel matrix rank minimization with applications to system identification and realization
• Monotone Operators and the Proximal Point Algorithm
• On the dual representation of coherent risk measures
• Proximité et dualité dans un espace hilbertien
• Risk minimization, regret minimization and progressive hedging algorithms
• Scenarios and Policy Aggregation in Optimization Under Uncertainty
• Solving monotone stochastic variational inequalities and complementarity problems by progressive hedging
• Solving stochastic programming problems with risk measures by progressive hedging
• Stochastic variational inequalities: single-stage to multistage

Cited In (14)

• On the implementation of a log-barrier progressive hedging method for multistage stochastic programs
• Randomized progressive hedging methods for multi-stage stochastic programming
• Solving stochastic programming problems with risk measures by progressive hedging
• Title not available (Why is no real title available?)
• Massively parallelizable proximal algorithms for large‐scale stochastic optimal control problems
• A prediction-correction ADMM for multistage stochastic variational inequalities
• A localized progressive hedging algorithm for solving nonmonotone stochastic variational inequalities
• Progressive hedging as a meta-heuristic applied to stochastic lot-sizing
• On proximal augmented Lagrangian based decomposition methods for dual block-angular convex composite programming problems
• A model of multistage risk-averse stochastic optimization and its solution by scenario-based decomposition algorithms
• A parallelized variable fixing process for solving multistage stochastic programs with progressive hedging
• Risk minimization, regret minimization and progressive hedging algorithms
• Solving monotone stochastic variational inequalities and complementarity problems by progressive hedging
• A note on progressive hedging algorithm for multistage stochastic variational inequalities

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