Integration of progressive hedging and dual decomposition in stochastic integer programs

Watson, Jean -Paul; Guo, Ge; Hackebeil, Gabriel; Ryan, Sarah M.; Woodruff, David L.

doi:10.1016/j.orl.2015.03.008

Integration of progressive hedging and dual decomposition in stochastic integer programs

Journal Article · Tue Apr 07 00:00:00 EDT 2015 · Operations Research Letters

DOI:https://doi.org/10.1016/j.orl.2015.03.008· OSTI ID:1235345

Watson, Jean -Paul ^[1]; Guo, Ge ^[2]; Hackebeil, Gabriel ^[1]; Ryan, Sarah M. ^[2]; Woodruff, David L. ^[3]

Sandia National Lab. (SNL-NM), Albuquerque, NM (United States)
Iowa State Univ., Ames, IA (United States)
Univ. of California, Davis, CA (United States)

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.

View Accepted Manuscript (DOE)

Research Organization:: Sandia National Laboratories (SNL-NM), Albuquerque, NM (United States)

Sponsoring Organization:: USDOE Advanced Research Projects Agency - Energy (ARPA-E); USDOE National Nuclear Security Administration (NNSA); USDOE Office of Science (SC), Advanced Scientific Computing Research (ASCR)

Grant/Contract Number:: AC04-94AL85000

OSTI ID:: 1235345

Alternate ID(s):: OSTI ID: 1246202

Report Number(s):: SAND--2015-0010J; 558281

Journal Information:: Operations Research Letters, Journal Name: Operations Research Letters Journal Issue: 3 Vol. 43; ISSN 0167-6377

Publisher:: ElsevierCopyright Statement

Country of Publication:: United States

Language:: English

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Obtaining lower bounds from the progressive hedging algorithm for stochastic mixed-integer programs Gade, Dinakar; Hackebeil, Gabriel; Ryan, Sarah M. Mathematical Programming, Vol. 157, Issue 1 https://doi.org/10.1007/s10107-016-1000-z	journal	April 2016
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97 MATHEMATICS AND COMPUTING
dual decomposition
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progressive hedging
stochastic programming

Integration of progressive hedging and dual decomposition in stochastic integer programs

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