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An ADMM algorithm for two-stage stochastic programming problems

  • Sebastián Arpón
  • Tito Homem-de-MelloEmail author
  • Bernardo K. Pagnoncelli
S.I.: CLAIO 2016
First Online:
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Abstract

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.

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Notes

Acknowledgements

The authors thank two anonymous referees for their constructive comments, which in particular allowed us to provide a generic formulation of the algorithm that includes the cases with and without proximal terms. This research was supported by FONDECYT Project No. 1171145.

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© Springer Science+Business Media, LLC, part of Springer Nature 2019

Authors and Affiliations

  1. 1.School of BusinessUniversidad Adolfo IbáñezSantiagoChile

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