A splitting method for stochastic programs

A splitting method for stochastic programs

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Article ID: iaor20063658
Country: Netherlands
Volume: 142
Issue: 1
Start Page Number: 259
End Page Number: 268
Publication Date: Feb 2006
Journal: Annals of Operations Research
Authors: ,
Abstract:

This paper derives a new splitting-based decomposition algorithm for convex stochastic programs. It combines certain attractive features of the progressive hedging algorithm of Rockafellar and Wets, the dynamic splitting algorithm of Salinger and Rockafellar and an algorithm of Korf. We give two derivations of our algorithm. The first one is very simple, and the second one yields a preconditioner that resulted in a considerable speed-up in our numerical tests.

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