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Approximate scenario solutions in the progressive hedging algorithm

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<mark>Journal publication date</mark>12/1991
<mark>Journal</mark>Annals of Operations Research
Issue number1
Volume31
Number of pages20
Pages (from-to)425-444
Publication StatusPublished
<mark>Original language</mark>English

Abstract

This paper describes how the scenario aggregation principle can be combined with approximate solutions of the individual scenario problems, resulting in a computationally efficient algorithm where two individual Lagrangian-based procedures are merged into one. Computational results are given for an example from fisheries management. Numerical experiments indicate that only crude scenario solutions are needed.