| Article ID: | iaor19971403 |
| Country: | Netherlands |
| Volume: | 64 |
| Issue: | 1 |
| Start Page Number: | 1 |
| End Page Number: | 19 |
| Publication Date: | Jun 1996 |
| Journal: | Annals of Operations Research |
| Authors: | Berland Nils Jacob, Haugen Kjetil K. |
| Keywords: | programming: dynamic |
This paper describes a serial and parallel implementation of a hybrid stochastic dynamic programming and progressive hedging algorithm. Numerical experiments show good speedups in the parallel implementation. In spite of this, the present hybrid algorithm has difficulties competing with a pure stochastic dynamic programming approach on a given test case from macroeconomic control theory.