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

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

The progressive hedging algorithm of Rockafellar and Wets for multistage stochastic programming problems could be viewed as a two-block alternating direction method of multipliers. This correspondence brings in some useful results. In particular, it provides a new proof for the convergence of the pr...

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Bibliographic Details
Main Authors: Sun, Jie, Xu, Honglei, Zhang, Min
Format: Journal Article
Language:English
Published: AMER INST MATHEMATICAL SCIENCES-AIMS 2020
Subjects:
Science & Technology
Technology
Physical Sciences
Engineering, Multidisciplinary
Operations Research & Management Science
Mathematics, Interdisciplinary Applications
Engineering
Mathematics
Progressive hedging algorithm
alternating direction method of multipliers
multistage stochastic optimization problems
stochastic variational inequalities
Online Access:http://purl.org/au-research/grants/arc/DP160102819
http://hdl.handle.net/20.500.11937/90789

Internet

http://purl.org/au-research/grants/arc/DP160102819
http://hdl.handle.net/20.500.11937/90789

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