A new interpretation of the progressive hedging algorithm for multistage stochastic minimization problems
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Sun, J. and Xu, H. and Zhang, M. 2020. A new interpretation of the progressive hedging algorithm for multistage stochastic minimization problems. Journal of Industrial and Management Optimization. 16 (4): pp. 1655-1662.
Journal of Industrial and Management Optimization
Faculty of Science and Engineering
School of Elec Eng, Comp and Math Sci (EECMS)
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The progressive hedging algorithm of Rockafellar and Wets for multistage stochastic programming problems could be viewed as a two-block alternating direction method of multipliers. This correspondence brings in some useful results. In particular, it provides a new proof for the convergence of the progressive hedging algorithm with a flexibility in the selection of primal and dual step lengths and it helps to develop a new progressive hedging algorithm for solving risk averse stochastic optimization problems with cross constraints.
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