Applying the progressive hedging algorithm to stochastic generalized networks

Abstract

The introduction of uncertainty to mathematical programs greatly increases the size of the resulting optimization problems. Specialized methods that exploit program structures and advances in computer technology promise to overcome the computational complexity of certain classes of stochastic programs. In this paper we examine the progressive hedging algorithm for solving multi-scenario generalized networks. We present computational results demonstrating the effect of various internal tactics on the algorithm's performance. Comparisons with alternative solution methods are provided. © 1991 J.C. Baltzer A. G. Scientific Publishing Company.