collaborators

1 paper

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…