Article ID: | iaor19971582 |
Country: | Netherlands |
Volume: | 64 |
Issue: | 1 |
Start Page Number: | 289 |
End Page Number: | 309 |
Publication Date: | Jun 1996 |
Journal: | Annals of Operations Research |
Authors: | Ruszczynski Andrzej, Rosa Charles H. |
Keywords: | decomposition |
A general decomposition framework for large convex optimization problems based on augmented Lagrangians is described. The approach is then applied to multistage stochastic programming problems in two different ways: by decomposing the problem into scenarios and by decomposing it into nodes corresponding to stages. Theoretical convergence properties of the two approaches are derived and a computational illustration is presented.