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  • 1
    Electronic Resource
    Electronic Resource
    On augmented Lagrangian decomposition methods for multistage stochastic programs (1996)
    Springer
    Annals of operations research 64 (1996), S. 289-309 
    Details
    ISSN: 1572-9338
    Keywords: Stochastic programming ; decomposition ; augmented Lagrangian ; Jacobi method ; parallel computation
    Source: Springer Online Journal Archives 1860-2000
    Topics: Mathematics , Economics
    Notes: Abstract 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.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/BF02187650
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