Progressive hedging innovations for a class of stochastic mixed-integer resource allocation problems
نویسندگان
چکیده
منابع مشابه
Progressive Hedging Innovations for a Class of Stochastic Resource Allocation Problems
Progressive hedging (PH) is a scenario-based decomposition technique for solving stochastic programs. While PH has been successfully applied to a number of problems, a variety of issues arise when implementing PH in practice, especially when dealing with very difficult or large-scale mixed-integer problems. In particular, decisions must be made regarding the value of the penalty parameter ρ, cr...
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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: Computational Management Science
سال: 2010
ISSN: 1619-697X,1619-6988
DOI: 10.1007/s10287-010-0125-4