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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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: Journal Article
Journal or Publication Title: Annals of Operations Research
Uncontrolled Keywords: /dk/atira/pure/subjectarea/aacsb/disciplinebasedresearch
Subjects:
Departments: Lancaster University Management School > Management Science
ID Code: 45365
Deposited By: ep_importer_pure
Deposited On: 11 Jul 2011 18:31
Refereed?: Yes
Published?: Published
Last Modified: 25 Feb 2020 01:23
URI: https://eprints.lancs.ac.uk/id/eprint/45365

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