Mixing stochastic dynamic programming and scenario aggregation

DOI10.1007/BF02187638zbMath0854.90104MaRDI QIDQ1918419

Nils Jacob Berland, Kjetil K. Haugen

Publication date: 31 July 1996

Published in: Annals of Operations Research (Search for Journal in Brave)

zbMATH Keywords

progressive hedging algorithmhybrid stochastic dynamic programmingmacroeconomic control theoryserial and parallel implementation

Mathematics Subject Classification ID

Stochastic programming (90C15) Economic growth models (91B62) Parallel numerical computation (65Y05)

Related Items (1)

On the implementation of a log-barrier progressive hedging method for multistage stochastic programs

Cites Work

• Unnamed Item
• Approximate scenario solutions in the progressive hedging algorithm. A numerical study with an application to fisheries management
• Structural properties of the progressive hedging algorithm
• Scenarios and Policy Aggregation in Optimization Under Uncertainty
• Solving multistage stochastic networks: An application of scenario aggregation
• Load Balancing in Hypercube Solution of Stochastic Optimization Problems
• Stochastic programs with recourse: A basic theorem for multistage problems

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