On augmented Lagrangian decomposition methods for multistage stochastic programs
نویسندگان
چکیده
منابع مشابه
Working Paper on Augmented Lagrangian Decomposition Methods for Multistage Stochastic Programs on Augmented Lagrangian Decomposition Methods for Multistage Stochastic Programs on Augmented Lagrangian Decomposition Methods for Multistage Stochastic Programs
A general decomposition framework for large convex optimization problems based on augmented Lagrangians is described. The approach is then applied to multistage stochastic programming problems in two di erent ways: by decomposing the problem into scenarios and by decomposing it into nodes corresponding to stages. Theoretical convergence properties of the two approaches are derived and a computa...
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ژورنال
عنوان ژورنال: Annals of Operations Research
سال: 1996
ISSN: 0254-5330,1572-9338
DOI: 10.1007/bf02187650