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BBPH: Using progressive hedging within branch and bound to solve multi-stage stochastic mixed integer programs

Journal Article · · Operations Research Letters
 [1];  [2];  [1]
  1. Univ. of California, Davis, CA (United States)
  2. Sandia National Lab. (SNL-NM), Albuquerque, NM (United States)
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Progressive hedging, though an effective heuristic for solving stochastic mixed integer programs (SMIPs), is not guaranteed to converge in this case. Here, we describe BBPH, a branch and bound algorithm that uses PH at each node in the search tree such that, given sufficient time, it will always converge to a globally optimal solution. Additionally, to providing a theoretically convergent “wrapper” for PH applied to SMIPs, computational results demonstrate that for some difficult problem instances branch and bound can find improved solutions after exploring only a few nodes.

Research Organization:
Sandia National Lab. (SNL-NM), Albuquerque, NM (United States)
Sponsoring Organization:
USDOE Office of Science (SC), Advanced Scientific Computing Research (ASCR); USDOE
Grant/Contract Number:
AC04-94AL85000
OSTI ID:
1340699
Alternate ID(s):
OSTI ID: 1411451
Report Number(s):
SAND-2016-12289J; PII: S0167637716302152
Journal Information:
Operations Research Letters, Vol. 45, Issue 1; ISSN 0167-6377
Publisher:
ElsevierCopyright Statement
Country of Publication:
United States
Language:
English

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Cited By (1)

A Progressive Hedging based branch-and-bound algorithm for mixed-integer stochastic programs journal June 2018

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Related Subjects

97 MATHEMATICS AND COMPUTING
stochastic programming
progressive hedging
branch and bound