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On Augmented Lagrangian Decomposition Methods For Multistage Stochastic Programs

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  • A. Ruszczynski

Abstract

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.

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Bibliographic Info

Paper provided by International Institute for Applied Systems Analysis in its series Working Papers with number wp94005.

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Date of creation: Feb 1994
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Handle: RePEc:wop:iasawp:wp94005

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  1. Alan Manne & Richard Richels, 1992. "Buying Greenhouse Insurance: The Economic Costs of CO2 Emission Limits," MIT Press Books, The MIT Press, edition 1, volume 1, number 026213280x, December.
  2. Alan S. Manne & Richard G. Richels, 1991. "Global CO2 Emission Reductions - the Impacts of Rising Energy Costs," The Energy Journal, International Association for Energy Economics, vol. 0(Number 1), pages 87-108.
  3. A. Ruszczynski, 1992. "Augmented Lagrangian Decomposition for Sparse Convex Optimization," Working Papers wp92075, International Institute for Applied Systems Analysis.
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Cited by:
  1. M. Makowski & L. Somlyody & D. Watkins, 1995. "Multiple Criteria Analysis for Regional Water Quality Management: the Nitra River Case," Working Papers wp95022, International Institute for Applied Systems Analysis.
  2. Diana Barro & Elio Canestrelli, 2005. "Time and nodal decomposition with implicit non-anticipativity constraints in dynamic portfolio optimization," GE, Growth, Math methods 0510011, EconWPA.
  3. Diana Barro & Elio Canestrelli, 2011. "Combining stochastic programming and optimal control to solve multistage stochastic optimization problems," Working Papers 2011_24, Department of Economics, University of Venice "Ca' Foscari", revised 2011.
  4. K. Kiwiel & C.H. Rosa & A. Ruszczynski, 1995. "Decomposition via Alternating Linearization," Working Papers wp95051, International Institute for Applied Systems Analysis.

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