Projective Hedging Algorithms for Multistage Stochastic Programming, Supporting Distributed and Asynchronous Implementation
References
- (2014) Solving coupled composite monotone inclusions by successive Fejér approximations of their Kuhn-Tucker set. SIAM J. Optim. 24(4):2076–2095.Crossref, Google Scholar
- (2020) Randomized progressive hedging methods for multi-stage stochastic programming. Ann. Oper. Res. 295(2):535–560.Crossref, Google Scholar
- (2013) Convex Analysis and Monotone Operator Theory in Hilbert Spaces, 2nd ed. (Springer, Cham, Switzerland).Google Scholar
- (2003) Convex Analysis and Optimization (Athena Scientific, Belmont, MA).Google Scholar
- (2018) Combining progressive hedging with a Frank-Wolfe method to compute Lagrangian dual bounds in stochastic mixed-integer programming. SIAM J. Optim. 28(2):1312–1336.Crossref, Google Scholar
- (2022) Block-activated algorithms for multicomponent fully nonsmooth minimization. Woon-Seng G, Kai-Kuang M, eds. Proc. IEEE Internat. Conf. on Acoustics, Speech and Signal Processing (IEEE, New York), 5428–5432.Google Scholar
- (2018) Asynchronous block-iterative primal-dual decomposition methods for monotone inclusions. Math. Programming 126(1–2):645–672.Crossref, Google Scholar
- (2015) Stochastic quasi-Fejér block-coordinate fixed point iterations with random sweeping. SIAM J. Optim. 25(2):1221–1248.Crossref, Google Scholar
- (2011) Progressive hedging-based metaheuristics for stochastic network design. Networks 58(2):114–124.Crossref, Google Scholar
- (2017) A simplified form of block-iterative operator splitting and an asynchronous algorithm resembling the multi-block alternating direction method of multipliers. J. Optim. Theory Appl. 173(1):155–182.Crossref, Google Scholar
- (1992) On the Douglas-Rachford splitting method and the proximal point algorithm for maximal monotone operators. Math. Programming 55(3):293–318.Crossref, Google Scholar
- (2008) A family of projective splitting methods for the sum of two maximal monotone operators. Math. Programming 111(1–2):173–199.Crossref, Google Scholar
- (2009) General projective splitting methods for sums of maximal monotone operators. SIAM J. Control Optim. 48(2):787–811.Crossref, Google Scholar
- (1983) On decomposition-coordination methods using an augmented Lagrangian. Fortin M, Glowinski R, eds. Augmented Lagrangian Methods: Applications to the Numerical Solution of Boundary-Value Problems, vol. 15 of Studies in Mathematics and its Applications (North-Holland, Amsterdam), 97–146.Crossref, Google Scholar
- (1983) Applications of the method of multipliers to variational inequalities. Fortin M, Glowinski R, eds. Augmented Lagrangian Methods: Applications to the Numerical Solution of Boundary-Value Problems, vol. 15 of Studies in Mathematics and its Applications (North-Holland, Amsterdam), 299–340.Crossref, Google Scholar
- (2016) Obtaining lower bounds from the progressive hedging algorithm for stochastic mixed-integer programs. Math. Programming 157(1):47–67.Crossref, Google Scholar
- (2018) A distributed, asynchronous, and incremental algorithm for nonconvex optimization: An ADMM approach. IEEE Trans. Control Network Systems 5(3):935–945.Crossref, Google Scholar
- (2013) Asynchronous distributed optimization using a randomized alternating direction method of multipliers. Tits AL, ed. Proc. 52nd IEEE Conf. on Decision and Control (IEEE, New York), 3671–3676.Google Scholar
- (2022) Projective splitting with forward steps. Math. Programming 191(2):631–670.Crossref, Google Scholar
- (1979) Splitting algorithms for the sum of two nonlinear operators. SIAM J. Numerical Anal. 16(6):964–979.Crossref, Google Scholar
- (2016) ARock: An algorithmic framework for asynchronous parallel coordinate updates. SIAM J. Sci. Comput. 38(5):A2851–A2879.Crossref, Google Scholar
- (2015) A progressive hedging method for the multi-path traveling salesman problem with stochastic travel times. IMA J. Management Math. 28:65–86.Crossref, Google Scholar
- (1991) Scenarios and policy aggregation in optimization under uncertainty. Math. Oper. Res. 16(1):119–147.Link, Google Scholar
- (2016) Scenario decomposition for 0-1 stochastic programs: Improvements and asynchronous implementation. Ućar B, ed. Proc. IEEE Internat. Parallel and Distributed Processing Sympos. Workshops (IEEE, New York) 722–729.Google Scholar
- (1998) Progressive hedging in parallel. Henderson S, ed. Proc. 33rd Annual Conf. of the Operational Res. Society of New Zealand (Operational Research Society of New Zealand, Auckland, New Zealand), 84–93.Google Scholar
- (2011) Progressive hedging innovations for a class of stochastic mixed-integer resource allocation problems. Comput. Management Sci. 8(4):355–370.Crossref, Google Scholar
- (2013) On the O(1/k) convergence of asynchronous distributed alternating direction method of multipliers. Tewfik A, ed. Proc. IEEE Global Conf. on Signal and Inform. Processing (IEEE, New York), 551–554.Google Scholar

