Solving stochastic programming problems with risk measures by progressive hedging

DOI10.1007/S11228-017-0437-4MaRDI QIDQ1711084zbMATH OpenOpenAlexFDO

Authors R. T. Rockafellar

Publication date 16 January 2019

Published in Set-Valued and Variational Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11228-017-0437-4

zbMATH Keywords

risk measuresconditional value-at-riskproblem decompositionstochastic programming progressive hedging algorithm

Mathematics Subject Classification ID

Stochastic programming (90C15)

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Cites work

• Progressive hedging innovations for a class of stochastic mixed-integer resource allocation problems
• Scenarios and Policy Aggregation in Optimization Under Uncertainty

Cited in

(28)

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• Risk-averse model predictive control
• A randomized progressive hedging algorithm for stochastic variational inequality
• Approximate scenario solutions in the progressive hedging algorithm. A numerical study with an application to fisheries management
• A scenario decomposition algorithm for stochastic programming problems with a class of downside risk measures
• A new interpretation of the progressive hedging algorithm for multistage stochastic minimization problems
• Progressive hedging innovations for a class of stochastic mixed-integer resource allocation problems
• scientific article; zbMATH DE number 7733428 (Why is no real title available?)
• Applying the progressive hedging algorithm to stochastic generalized networks
• Risk-averse stochastic programming and distributionally robust optimization via operator splitting
• Integration of progressive hedging and dual decomposition in stochastic integer programs
• Progressive hedging as a meta-heuristic applied to stochastic lot-sizing
• Risk-averse optimal control model under uncertainty and its modified progressive hedging algorithm
• A parallelized variable fixing process for solving multistage stochastic programs with progressive hedging
• Superquantiles at work: machine learning applications and efficient subgradient computation
• Scenario decomposable subgradient projection method for two-stage stochastic programming with convex risk measures
• On supply and network investment in power systems
• Integer programming approaches in mean-risk models
• Convex approximations of two-stage risk-averse mixed-integer recourse models
• Minimizing buffered probability of exceedance by progressive hedging
• Risk minimization, regret minimization and progressive hedging algorithms
• Solving monotone stochastic variational inequalities and complementarity problems by progressive hedging
• Convex approximations for two-stage mixed-integer mean-risk recourse models with conditional value-at-risk

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