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...
| Main Authors: | , , |
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| Format: | Journal Article |
| Language: | English |
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AMER INST MATHEMATICAL SCIENCES-AIMS
2020
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| Subjects: | |
| Online Access: | http://purl.org/au-research/grants/arc/DP160102819 http://hdl.handle.net/20.500.11937/90789 |
| _version_ | 1848765428744060928 |
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| author | Sun, Jie Xu, Honglei Zhang, Min |
| author_facet | Sun, Jie Xu, Honglei Zhang, Min |
| author_sort | Sun, Jie |
| building | Curtin Institutional Repository |
| collection | Online Access |
| description | 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 progressive hedging algorithm with a flexibility in the selection of primal and dual step lengths and it helps to develop a new progressive hedging algorithm for solving risk averse stochastic optimization problems with cross constraints. |
| first_indexed | 2025-11-14T11:35:06Z |
| format | Journal Article |
| id | curtin-20.500.11937-90789 |
| institution | Curtin University Malaysia |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-14T11:35:06Z |
| publishDate | 2020 |
| publisher | AMER INST MATHEMATICAL SCIENCES-AIMS |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | curtin-20.500.11937-907892023-04-20T07:24:05Z A new interpretation of the progressive hedging algorithm for multistage stochastic minimization problems Sun, Jie Xu, Honglei Zhang, Min 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 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 progressive hedging algorithm with a flexibility in the selection of primal and dual step lengths and it helps to develop a new progressive hedging algorithm for solving risk averse stochastic optimization problems with cross constraints. 2020 Journal Article http://hdl.handle.net/20.500.11937/90789 10.3934/jimo.2019022 English http://purl.org/au-research/grants/arc/DP160102819 AMER INST MATHEMATICAL SCIENCES-AIMS unknown |
| spellingShingle | 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 Sun, Jie Xu, Honglei Zhang, Min A new interpretation of the progressive hedging algorithm for multistage stochastic minimization problems |
| title | A new interpretation of the progressive hedging algorithm for multistage stochastic minimization problems |
| title_full | A new interpretation of the progressive hedging algorithm for multistage stochastic minimization problems |
| title_fullStr | A new interpretation of the progressive hedging algorithm for multistage stochastic minimization problems |
| title_full_unstemmed | A new interpretation of the progressive hedging algorithm for multistage stochastic minimization problems |
| title_short | A new interpretation of the progressive hedging algorithm for multistage stochastic minimization problems |
| title_sort | new interpretation of the progressive hedging algorithm for multistage stochastic minimization problems |
| topic | 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 |
| url | http://purl.org/au-research/grants/arc/DP160102819 http://hdl.handle.net/20.500.11937/90789 |