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
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alternating direction method of multipliersstochastic variational inequalitiesprogressive hedging algorithmmultistage stochastic optimization problems
Numerical optimization and variational techniques (65K10) Stochastic programming (90C15) Numerical methods for variational inequalities and related problems (65K15)
Cites Work
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- Monotone Operators and the Proximal Point Algorithm
- Proximité et dualité dans un espace hilbertien
- Scenarios and Policy Aggregation in Optimization Under Uncertainty
- Applications of the method of partial inverses to convex programming: Decomposition
- Stochastic variational inequalities: single-stage to multistage
- On the dual representation of coherent risk measures
- Solving monotone stochastic variational inequalities and complementarity problems by progressive hedging
- Solving stochastic programming problems with risk measures by progressive hedging
- Risk minimization, regret minimization and progressive hedging algorithms
Cited In (9)
- On the implementation of a log-barrier progressive hedging method for multistage stochastic programs
- A Model of Multistage Risk-Averse Stochastic Optimization and its Solution by Scenario-Based Decomposition Algorithms
- Title not available (Why is that?)
- Massively parallelizable proximal algorithms for large‐scale stochastic optimal control problems
- A prediction-correction ADMM for multistage 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 parallelized variable fixing process for solving multistage stochastic programs with progressive hedging
- Solving monotone stochastic variational inequalities and complementarity problems by progressive hedging
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