Combining Progressive Hedging with a Frank--Wolfe Method to Compute Lagrangian Dual Bounds in Stochastic Mixed-Integer Programming
نویسندگان
چکیده
منابع مشابه
Combining Progressive Hedging with a Frank-wolfe
We present a new primal-dual algorithm for computing the value of the Lagrangian 6 dual of a stochastic mixed-integer program (SMIP) formed by relaxing its nonanticipativity con7 straints. The algorithm relies on the well-known progressive hedging method, but unlike previous 8 progressive hedging approaches for SMIP, our algorithm can be shown to converge to the optimal 9 Lagrangian dual value....
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ژورنال
عنوان ژورنال: SIAM Journal on Optimization
سال: 2018
ISSN: 1052-6234,1095-7189
DOI: 10.1137/16m1076290