Industrial and Manufacturing Systems Engineering
Journal or Book Title
Operations Research Letters
Research Focus Area(s)
We present a method for integrating the Progressive Hedging (PH) algorithm and the Dual Decomposition (DD) algorithm of Carøe and Schultz for stochastic mixed-integer programs. Based on the correspondence between lower bounds obtained with PH and DD, a method to transform weights from PH to Lagrange multipliers in DD is found. Fast progress in early iterations of PH speeds up convergence of DD to an exact solution. We report computational results on server location and unit commitment instances.
Guo, Ge; Hackebeil, Gabriel; Ryan, Sarah M.; Watson, Jean-Paul; and Woodruff, David L., "Integration of progressive hedging and dual decomposition in stochastic integer programs" (2015). Industrial and Manufacturing Systems Engineering Publications. 72.