Wallace, S W and Helgason, Thorkell (1991) Approximate scenario solutions in the progressive hedging algorithm. Annals of Operations Research, 31 (1). pp. 425-444. ISSN 0254-5330
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Official URL: http://dx.doi.org/10.1007/BF02204861
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.
| Item Type: | Article |
|---|---|
| Journal or Publication Title: | Annals of Operations Research |
| Uncontrolled Keywords: | Stochastic programming ; discrete optimal control ; scenario aggregation ; dynamic optimization ; multistage decision making ; decomposition ; approximation ; fisheries models |
| Subjects: | UNSPECIFIED |
| Departments: | Lancaster University Management School > Management Science |
| ID Code: | 45365 |
| Deposited By: | ep_importer_pure |
| Deposited On: | 11 Jul 2011 19:31 |
| Refereed?: | Yes |
| Published?: | Published |
| Last Modified: | 26 Jul 2012 19:15 |
| Identification Number: | |
| URI: | http://eprints.lancs.ac.uk/id/eprint/45365 |
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