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Progressive Hedging in Nonconvex Stochastic Programming Rockafellar, R. Terry
Description
The progressive hedging algorithm minimizes an expected "cost" by iteratively decomposing into separate subproblems for each scenario. Up to now it has depended on convexity of the underlying "cost" function with respect to the decision variables and the constraints on them. However, a new advance makes it possible to obtain convergence to a locally optimal solution when the procedure is executed close enough to it and a kind of second-order local sufficiency condition is satisfied. Besides applications in which costs and associated constraints may directly be nonconvex, there are applications to stochastic programming problems in which those are convex but the probabilities for the scenarios may be decision-dependent. For example, in a two-stage problem the probabilities in the recourse stage could be influenced by the first-stage decision.
Item Metadata
Title |
Progressive Hedging in Nonconvex Stochastic Programming
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Creator | |
Publisher |
Banff International Research Station for Mathematical Innovation and Discovery
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Date Issued |
2019-09-25T09:00
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Description |
The progressive hedging algorithm minimizes an expected "cost" by
iteratively decomposing into separate subproblems for each scenario.
Up to now it has depended on convexity of the underlying "cost"
function with respect to the decision variables and the constraints on
them. However, a new advance makes it possible to obtain convergence
to a locally optimal solution when the procedure is executed close
enough to it and a kind of second-order local sufficiency condition is
satisfied.
Besides applications in which costs and associated constraints may
directly be nonconvex, there are applications to stochastic
programming problems in which those are convex but the probabilities
for the scenarios may be decision-dependent. For example, in a
two-stage problem the probabilities in the recourse stage could be
influenced by the first-stage decision.
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Extent |
41.0 minutes
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Subject | |
Type | |
File Format |
video/mp4
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Language |
eng
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Notes |
Author affiliation: University of Washington
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Series | |
Date Available |
2020-03-24
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Provider |
Vancouver : University of British Columbia Library
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Rights |
Attribution-NonCommercial-NoDerivatives 4.0 International
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DOI |
10.14288/1.0389620
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URI | |
Affiliation | |
Peer Review Status |
Unreviewed
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Scholarly Level |
Faculty
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Rights URI | |
Aggregated Source Repository |
DSpace
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Item Media
Item Citations and Data
Rights
Attribution-NonCommercial-NoDerivatives 4.0 International