Friday, 10:30 - 10:55 h, Room: MA 141


David Woodruff
Bundling scenarios in progressive hedging

Coauthors: Jean-Paul Watson, Roger J-B Wets


In this paper, we provide theoretical background and describe computational experience with schemes for bundling
scenarios to improve convergence rates and reduce computational effort for Progressive Hedging (PH). Although the idea was floated (Wets 89, Wets 91) at about the same
time PH was first described, it has received very little attention. As we will show, bundling can be an
important component in PH.
We provide brief introduction to
stochastic programming problems and their solution via PH. Theoretical justification and guidance for
scenario bundling is introduced. Computational experiments with scenario bundling are described.


Talk 1 of the invited session Fri.1.MA 141
"Progressive hedging: Innovations and applications" [...]
Cluster 22
"Stochastic optimization" [...]


  There are three major facts that should be watched out for in all payday loans in the United States. Since its introduction in the market buying Cialis can be exclusively in pharmacy chains with a prescription from a doctor. I agree that this is very inconvenient and takes a lot of time and effort.