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Approximate scenario solutions in the progressive hedging algorithm

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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    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
    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: 04 Nov 2015 03:49
    Identification Number:

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