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

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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

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