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Title: Integration of progressive hedging and dual decomposition in stochastic integer programs

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. As a result, we report computational results on server location and unit commitment instances.
Authors:
 [1] ;  [2] ;  [1] ;  [2] ;  [3]
  1. Sandia National Lab. (SNL-NM), Albuquerque, NM (United States)
  2. Iowa State Univ., Ames, IA (United States)
  3. Univ. of California, Davis, CA (United States)
Publication Date:
OSTI Identifier:
1235345
Report Number(s):
SAND--2015-0010J
Journal ID: ISSN 0167-6377; 558281
Grant/Contract Number:
AC04-94AL85000
Type:
Accepted Manuscript
Journal Name:
Operations Research Letters
Additional Journal Information:
Journal Volume: 43; Journal Issue: 3; Journal ID: ISSN 0167-6377
Publisher:
Elsevier
Research Org:
Sandia National Laboratories (SNL-NM), Albuquerque, NM (United States)
Sponsoring Org:
USDOE National Nuclear Security Administration (NNSA)
Country of Publication:
United States
Language:
English
Subject:
97 MATHEMATICS AND COMPUTING stochastic programming; mixed-integer programming; progressive hedging; dual decomposition; lower bounding