Working Paper on Augmented Lagrangian Decomposition Methods for Multistage Stochastic Programs on Augmented Lagrangian Decomposition Methods for Multistage Stochastic Programs on Augmented Lagrangian Decomposition Methods for Multistage Stochastic Programs
نویسنده
چکیده
A general decomposition framework for large convex optimization problems based on augmented Lagrangians is described. The approach is then applied to multistage stochastic programming problems in two di erent ways: by decomposing the problem into scenarios and by decomposing it into nodes corresponding to stages. Theoretical convergence properties of the two approaches are derived and a computational illustration is presented.
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تاریخ انتشار 1994