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Approximate scenario solutions in the progressive hedging algorithm

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Approximate scenario solutions in the progressive hedging algorithm. / Wallace, S W; Helgason, Thorkell.
In: Annals of Operations Research, Vol. 31, No. 1, 12.1991, p. 425-444.

Research output: Contribution to Journal/MagazineJournal articlepeer-review

Harvard

Wallace, SW & Helgason, T 1991, 'Approximate scenario solutions in the progressive hedging algorithm', Annals of Operations Research, vol. 31, no. 1, pp. 425-444. https://doi.org/10.1007/BF02204861

APA

Vancouver

Wallace SW, Helgason T. Approximate scenario solutions in the progressive hedging algorithm. Annals of Operations Research. 1991 Dec;31(1):425-444. doi: 10.1007/BF02204861

Author

Wallace, S W ; Helgason, Thorkell. / Approximate scenario solutions in the progressive hedging algorithm. In: Annals of Operations Research. 1991 ; Vol. 31, No. 1. pp. 425-444.

Bibtex

@article{549f6e22de3c410687a9e4e73a5dad4e,
title = "Approximate scenario solutions in the progressive hedging algorithm",
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.",
keywords = "Stochastic programming, discrete optimal control , scenario aggregation , dynamic optimization , multistage decision making , decomposition , approximation, fisheries models",
author = "Wallace, {S W} and Thorkell Helgason",
year = "1991",
month = dec,
doi = "10.1007/BF02204861",
language = "English",
volume = "31",
pages = "425--444",
journal = "Annals of Operations Research",
issn = "0254-5330",
publisher = "Springer",
number = "1",

}

RIS

TY - JOUR

T1 - Approximate scenario solutions in the progressive hedging algorithm

AU - Wallace, S W

AU - Helgason, Thorkell

PY - 1991/12

Y1 - 1991/12

N2 - 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.

AB - 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.

KW - Stochastic programming

KW - discrete optimal control

KW - scenario aggregation

KW - dynamic optimization

KW - multistage decision making

KW - decomposition

KW - approximation

KW - fisheries models

U2 - 10.1007/BF02204861

DO - 10.1007/BF02204861

M3 - Journal article

VL - 31

SP - 425

EP - 444

JO - Annals of Operations Research

JF - Annals of Operations Research

SN - 0254-5330

IS - 1

ER -