Campus Units

Industrial and Manufacturing Systems Engineering

Document Type

Article

Publication Version

Submitted Manuscript

Publication Date

5-2016

Journal or Book Title

Mathematical Programming, Series B

Volume

157

Issue

1

First Page

47

Last Page

67

DOI

10.1007/s10107-016-1000-z

Abstract

We present a method for computing lower bounds in the progressive hedging algorithm (PHA) for two-stage and multi-stage stochastic mixed-integer programs. Computing lower bounds in the PHA allows one to assess the quality of the solutions generated by the algorithm contemporaneously. The lower bounds can be computed in any iteration of the algorithm by using dual prices that are calculated during execution of the standard PHA. We report computational results on stochastic unit commitment and stochastic server location problem instances, and explore the relationship between key PHA parameters and the quality of the resulting lower bounds.

Comments

This is a manuscript of an article from Mathematical Programming, Series B, 157 (2016): 47, doi: 10.1007/s10107-016-1000-z. The final publication is available at Springer via http://dx.doi.org/10.1007/s10107-016-1000-z.

Copyright Owner

Springer-Verlag Berlin Heidelberg and Mathematical Optimization Society

Language

en

File Format

application/pdf

Published Version

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