Obtaining lower bounds from the progressive hedging algorithm for stochastic mixed-integer programs

dc.contributor.author Gade, Dinakar
dc.contributor.author Hackebeil, Gabriel
dc.contributor.author Ryan, Sarah
dc.contributor.author Ryan, Sarah
dc.contributor.author Watson, Jean-Paul
dc.contributor.author Wets, Roger
dc.contributor.author Woodruff, David
dc.contributor.department Industrial and Manufacturing Systems Engineering
dc.date 2018-02-17T18:37:13.000
dc.date.accessioned 2020-06-30T04:49:07Z
dc.date.available 2020-06-30T04:49:07Z
dc.date.copyright Fri Jan 01 00:00:00 UTC 2016
dc.date.embargo 2017-05-01
dc.date.issued 2016-05-01
dc.description.abstract <p>We present a method for computing lower bounds in the progressive hedging algorithm (PHA) for two-stage and multi-stage stochastic mixed-integer programs. Computing lower bounds in the PHA allows one to assess the quality of the solutions generated by the algorithm contemporaneously. The lower bounds can be computed in any iteration of the algorithm by using dual prices that are calculated during execution of the standard PHA. We report computational results on stochastic unit commitment and stochastic server location problem instances, and explore the relationship between key PHA parameters and the quality of the resulting lower bounds.</p>
dc.description.comments <p>This is a manuscript of an article from <em>Mathematical Programming</em>, Series B, 157 (2016): 47, doi: <a href="http://dx.doi.org/10.1007/s10107-016-1000-z." target="_blank">10.1007/s10107-016-1000-z.</a> The final publication is available at Springer via http://dx.doi.org/1<a href="http://dx.doi.org/10.1007/s10107-016-1000-z." target="_blank">0.1007/s10107-016-1000-z</a>.</p>
dc.format.mimetype application/pdf
dc.identifier archive/lib.dr.iastate.edu/imse_pubs/73/
dc.identifier.articleid 1072
dc.identifier.contextkey 8825451
dc.identifier.s3bucket isulib-bepress-aws-west
dc.identifier.submissionpath imse_pubs/73
dc.identifier.uri https://dr.lib.iastate.edu/handle/20.500.12876/44595
dc.language.iso en
dc.source.bitstream archive/lib.dr.iastate.edu/imse_pubs/73/2016_RyanSM_ObtainingLowerBounds.pdf|||Sat Jan 15 01:45:58 UTC 2022
dc.source.uri 10.1007/s10107-016-1000-z
dc.subject.disciplines Industrial Engineering
dc.subject.disciplines Systems Engineering
dc.subject.keywords Stochastic mixed-integer programming
dc.subject.keywords Decomposition algorithms
dc.subject.keywords Lower bounding
dc.title Obtaining lower bounds from the progressive hedging algorithm for stochastic mixed-integer programs
dc.type article
dc.type.genre article
dspace.entity.type Publication
relation.isAuthorOfPublication 22d808f1-c309-4cb1-8d3e-14c57a6b96a9
relation.isOrgUnitOfPublication 51d8b1a0-5b93-4ee8-990a-a0e04d3501b1
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