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Article
Integration of progressive hedging and dual decomposition in stochastic integer programs
Operations Research Letters
  • Ge Guo, Iowa State University
  • Gabriel Hackebeil, Sandia National Laboratories
  • Sarah M. Ryan, Iowa State University
  • Jean-Paul Watson, Sandia National Laboratories
  • David L. Woodruff, University of California - Davis
Document Type
Article
Publication Version
Submitted Manuscript
Publication Date
5-1-2015
DOI
10.1016/j.orl.2015.03.008
Abstract
We present a method for integrating the Progressive Hedging (PH) algorithm and the Dual Decomposition (DD) algorithm of Carøe and Schultz for stochastic mixed-integer programs. Based on the correspondence between lower bounds obtained with PH and DD, a method to transform weights from PH to Lagrange multipliers in DD is found. Fast progress in early iterations of PH speeds up convergence of DD to an exact solution. We report computational results on server location and unit commitment instances.
Comments

NOTICE: this is the author's version of a work that was accepted for publication in Operation Research Letters. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in Operations Research Letters, [v.43, iss.3,(2015)]. DOI: 10.1016/j.orl.2015.03.0

Copyright Owner
Elsevier B.V.
Language
en
File Format
application/pdf
Citation Information
Ge Guo, Gabriel Hackebeil, Sarah M. Ryan, Jean-Paul Watson, et al.. "Integration of progressive hedging and dual decomposition in stochastic integer programs" Operations Research Letters Vol. 43 Iss. 3 (2015) p. 311 - 316
Available at: http://works.bepress.com/sarah_m_ryan/30/