On the implementation of a log-barrier progressive hedging method for multistage stochastic programs

DOI10.1016/J.CAM.2009.12.050MaRDI QIDQ964982zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

numerical experimentsprogressive hedging methodLagrangian dualpolynomial-time complexitylog-barrier methodmultistage stochastic programs

Mathematics Subject Classification ID

Numerical mathematical programming methods (65K05) Stochastic programming (90C15)

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Cites work

• scientific article; zbMATH DE number 4081303 (Why is no real title available?)
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• scientific article; zbMATH DE number 663895 (Why is no real title available?)
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• Applying the progressive hedging algorithm to stochastic generalized networks
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• MSLiP: A computer code for the multistage stochastic linear programming problem
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• Parallelizable preprocessing method for multistage stochastic programming problems
• Scenario analysis via bundle decomposition
• Scenario formulation of stochastic linear programs and the homogeneous self-dual interior-point method
• Scenarios and Policy Aggregation in Optimization Under Uncertainty
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• Stochastic programming in production planning: a case with none-simple recourse

Cited in

(4)

• A new interpretation of the progressive hedging algorithm for multistage stochastic minimization problems
• scientific article; zbMATH DE number 7733428 (Why is no real title available?)
• 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

Describes a project that uses

Uses Software

• MSLiP

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