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

Journal Article · · Operations Research Letters
 [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)
+ Show Author Affiliations

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.

Research Organization:
Sandia National Lab. (SNL-NM), Albuquerque, NM (United States)
Sponsoring Organization:
USDOE National Nuclear Security Administration (NNSA); USDOE Advanced Research Projects Agency - Energy (ARPA-E); USDOE Office of Science (SC), Advanced Scientific Computing Research (ASCR)
Grant/Contract Number:
AC04-94AL85000; AC04-94-AL85000
OSTI ID:
1235345
Alternate ID(s):
OSTI ID: 1246202
Report Number(s):
SAND-2015-0010J; 558281
Journal Information:
Operations Research Letters, Vol. 43, Issue 3; ISSN 0167-6377
Publisher:
ElsevierCopyright Statement
Country of Publication:
United States
Language:
English
Citation Metrics:
Cited by: 29 works
Citation information provided by
Web of Science

References (18)

Dual decomposition in stochastic integer programming journal February 1999
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Solving Stochastic Transportation Network Protection Problems Using the Progressive Hedging-based Method journal March 2008
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Dynamic Testing of Wholesale Power Market Designs: An Open-Source Agent-Based Framework journal August 2007
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PySP: modeling and solving stochastic programs in Python journal March 2012

Cited By (5)

Combining penalty-based and Gauss-Seidel methods for solving stochastic mixed-integer problems journal March 2018
Optimising data-driven network under limited resource: a partial diversification approach journal August 2018
A Progressive Hedging based branch-and-bound algorithm for mixed-integer stochastic programs journal June 2018
Obtaining lower bounds from the progressive hedging algorithm for stochastic mixed-integer programs journal April 2016
Testing of Algorithms for Integer Quasiblock Optimization Problems journal February 2018

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Related Subjects

97 MATHEMATICS AND COMPUTING
stochastic programming
mixed-integer programming
progressive hedging
dual decomposition
lower bounding