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Annals of Operations Research

, Volume 31, Issue 1, pp 399–424 | Cite as

Applying the progressive hedging algorithm to stochastic generalized networks

  • John M. Mulvey
  • Hercules Vladimirou
Article

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.

Keywords

Stochastic networks scenario analysis decomposition dynamic decision problems 

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Copyright information

© J.C. Baltzer A. G. Scientific Publishing Company 1991

Authors and Affiliations

  • John M. Mulvey
    • 1
  • Hercules Vladimirou
    • 1
  1. 1.Department of Civil Engineering and Operations Research, School of Engineering and Applied SciencePrinceton UniversityPrincetonUSA

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