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Research output: Contribution to Journal/Magazine › Journal article › peer-review
Research output: Contribution to Journal/Magazine › Journal article › peer-review
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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 -