Obtaining lower bounds from the progressive hedging algorithm for stochastic mixed-integer programs
Journal Article
·
· Mathematical Programming
- Sabre Holdings, Southlake, TX (United States)
- Texas A & M Univ., College Station, TX (United States)
- Iowa State Univ., Ames, IA (United States)
- Sandia National Lab. (SNL-NM), Albuquerque, NM (United States)
- Univ. of California, Davis, CA (United States)
We present a method for computing lower bounds in the progressive hedging algorithm (PHA) for two-stage and multi-stage stochastic mixed-integer programs. Computing lower bounds in the PHA allows one to assess the quality of the solutions generated by the algorithm contemporaneously. The lower bounds can be computed in any iteration of the algorithm by using dual prices that are calculated during execution of the standard PHA. In conclusion, we report computational results on stochastic unit commitment and stochastic server location problem instances, and explore the relationship between key PHA parameters and the quality of the resulting lower bounds.
- Research Organization:
- Sandia National Lab. (SNL-NM), Albuquerque, NM (United States)
- Sponsoring Organization:
- USDOE National Nuclear Security Administration (NNSA)
- Grant/Contract Number:
- AC04-94AL85000
- OSTI ID:
- 1310314
- Report Number(s):
- SAND-2013-9195J; PII: 1000
- Journal Information:
- Mathematical Programming, Vol. 157, Issue 1; ISSN 0025-5610
- Publisher:
- SpringerCopyright Statement
- Country of Publication:
- United States
- Language:
- English
Cited by: 103 works
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