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

 

David Woodruff
Bundling scenarios in progressive hedging

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

 

Abstract:
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" [...]

 

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