2 papers
math.OC2017
Combining Progressive Hedging with a Frank-Wolfe Method to Compute Lagrangian Dual Bounds in Stochastic Mixed-Integer Programming
Natashia Boland, Jeffrey Christiansen, Brian Dandurand +3
We present a new primal-dual algorithm for computing the value of the Lagrangian dual of a stochastic mixed-integer program (SMIP) formed by relaxing its nonanticipativity constrai…
math.OC2001
Decomposition Algorithms for Stochastic Programming on a Computational Grid
Jeff Linderoth, Stephen Wright
We describe algorithms for two-stage stochastic linear programming with recourse and their implementation on a grid computing platform. In particular, we examine serial and asynchr…