English, Article, Journal or magazine article edition: On Augmented Lagrangian Decomposition Methods For Multistage Stochastic Programs. C.H. Rosa; A. Ruszczynski

User activity

Share to:
 
Bookmark: http://trove.nla.gov.au/version/138208
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • On Augmented Lagrangian Decomposition Methods For Multistage Stochastic Programs.
Author
  • C.H. Rosa
  • A. Ruszczynski
Physical Description
  • preprint
Notes
  • A general decomposition framework for large convex optimization problems based on augmented Lagrangians is described. The approach is then applied to multistage stochastic programming problems in two different ways: by decomposing the problem into scenarios and by decomposing it into nodes corresponding to stages. Theoretical convergence properties of the two approaches are derived and a computational illustration is presented.
  • RePEc:wop:iasawp:wp94125
  • A general decomposition framework for large convex optimization problems based on augmented Lagrangians is described. The approach is then applied to multistage stochastic programming problems in two different ways: by decomposing the problem into scenarios or decomposing it into nodes corresponding to stages. In both cases the method has favorable convergence properties and a structure which makes it convenient for parallel computing environments.
  • RePEc:wop:iasawp:wp94005
Language
  • English
Contributed by
OAIster

Get this edition

  • Set up My libraries

    How do I set up "My libraries"?

    In order to set up a list of libraries that you have access to, you must first login or sign up. Then set up a personal list of libraries from your profile page by clicking on your user name at the top right of any screen.

  • All (1)
  • Unknown (1)
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.

User activity


e.g. test cricket, Perth (WA), "Parkes, Henry"

Separate different tags with a comma. To include a comma in your tag, surround the tag with double quotes.

Be the first to add a tag for this edition

Be the first to add this to a list

Comments and reviews

What are comments? Add a comment

No user comments or reviews for this version

Add a comment