An ADMM algorithm for two-stage stochastic programming problems

Sebastián Arpón, Tito Homem-de-Mello, Bernardo K. Pagnoncelli

Producción científica: Contribución a una revistaArtículorevisión exhaustiva

3 Citas (Scopus)

Resumen

The alternate direction method of multipliers (ADMM) has received significant attention recently as a powerful algorithm to solve convex problems with a block structure. The vast majority of applications focus on deterministic problems. In this paper we show that ADMM can be applied to solve two-stage stochastic programming problems, and we propose an implementation in three blocks with or without proximal terms. We present numerical results for large scale instances, and extend our findings for risk averse formulations using utility functions.

Idioma originalInglés
Páginas (desde-hasta)559-582
Número de páginas24
PublicaciónAnnals of Operations Research
Volumen286
N.º1-2
DOI
EstadoPublicada - 1 mar. 2020
Publicado de forma externa

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