Progressive hedging for stochastic programs with cross-scenario inequality constraints

DOI10.1007/s10287-019-00359-zOpenAlexW2983317475MaRDI QIDQ2183566

Hans Ivar Skjelbred, Ellen Krohn Aasgård

Publication date: 27 May 2020

Published in: Computational Management Science (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/11250/2643279

zbMATH Keywords

stochastic programmingunit commitmenthydropowerprogressive hedgingelectricity auctions

Mathematics Subject Classification ID

Operations research and management science (90Bxx)

Cites Work

• Obtaining lower bounds from the progressive hedging algorithm for stochastic mixed-integer programs
• Scenario grouping in a progressive hedging-based meta-heuristic for stochastic network design
• Progressive hedging innovations for a class of stochastic mixed-integer resource allocation problems
• Stochastic programming for optimizing bidding strategies of a Nordic hydropower producer
• Optimizing profits from hydroelectricity production
• Stochastic short-term hydropower planning with inflow scenario trees
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• Scenarios and Policy Aggregation in Optimization Under Uncertainty