On the implementation of a log-barrier progressive hedging method for multistage stochastic programs
DOI10.1016/J.CAM.2009.12.050zbMATH Open1189.65127OpenAlexW2062064054MaRDI QIDQ964982FDOQ964982
Authors: Xinwei Liu, Kim-Chuan Toh, Gongyun Zhao 
Publication date: 21 April 2010
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.cam.2009.12.050
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numerical experimentsprogressive hedging methodLagrangian dualpolynomial-time complexitylog-barrier methodmultistage stochastic programs
Cites Work
- MSLiP: A computer code for the multistage stochastic linear programming problem
- Title not available (Why is that?)
- Introduction to Stochastic Programming
- On Convergence of an Augmented Lagrangian Decomposition Method for Sparse Convex Optimization
- Scenarios and Policy Aggregation in Optimization Under Uncertainty
- Applying the progressive hedging algorithm to stochastic generalized networks
- A log-barrier method with Benders decomposition for solving two-stage stochastic linear programs
- A Lagrangian dual method with self-concordant barriers for multi-stage stochastic convex programming
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- Stochastic programming in production planning: a case with none-simple recourse
- A Primal-Dual Decomposition-Based Interior Point Approach to Two-Stage Stochastic Linear Programming
- A Decomposition Method Based on SQP for a Class of Multistage Stochastic Nonlinear Programs
- Parallel decomposition of multistage stochastic programming problems
- Interior-point methods with decomposition for solving large-scale linear programs
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- Approximate scenario solutions in the progressive hedging algorithm. A numerical study with an application to fisheries management
- Some advances in decomposition methods for stochastic linear programming
- Scenario analysis via bundle decomposition
- Mixing stochastic dynamic programming and scenario aggregation
- Parallelizable preprocessing method for multistage stochastic programming problems
- Scenario formulation of stochastic linear programs and the homogeneous self-dual interior-point method
Cited In (4)
- A new interpretation of the progressive hedging algorithm for multistage stochastic minimization problems
- Title not available (Why is that?)
- Progressive hedging as a meta-heuristic applied to stochastic lot-sizing
- A Lagrangian dual method with self-concordant barriers for multi-stage stochastic convex programming
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