Obtaining lower bounds from the progressive hedging algorithm for stochastic mixed-integer programs
نویسندگان
چکیده
منابع مشابه
Obtaining lower bounds from the progressive hedging algorithm for stochastic mixed-integer programs
We present a method for computing lower bounds in the Progressive Hedging Algorithm (PHA) for two-stage and multi-stage stochastic mixedinteger programs. Computing lower bounds in the PHA allows one to assess the quality of the solutions generated by the algorithm contemporaneously. The lower bounds can be computed in any iteration of the algorithm by using dual prices that are calculated durin...
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ژورنال
عنوان ژورنال: Mathematical Programming
سال: 2016
ISSN: 0025-5610,1436-4646
DOI: 10.1007/s10107-016-1000-z