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Approximate scenario solutions in the progressive hedging algorithm (1991)

Helgason, Thorkell ; Wallace, Stein W.

Springer

Annals of operations research 31 (1991), S. 425-444

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ISSN: 1572-9338

Keywords: Stochastic programming ; discrete optimal control ; scenario aggregation ; dynamic optimization ; multistage decision making ; decomposition ; approximation ; fisheries models

Source: Springer Online Journal Archives 1860-2000

Topics: Mathematics , Economics

Notes: Abstract This paper describes how the scenario aggregation principle can be combined with approximate solutions of the individual scenario problems, resulting in a computationally efficient algorithm where two individual Lagrangian-based procedures are merged into one. Computational results are given for an example from fisheries management. Numerical experiments indicate that only crude scenario solutions are needed.

Type of Medium: Electronic Resource

URL: http://dx.doi.org/10.1007/BF02204861

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