|edoc-Server der Humboldt-Universität zu Berlin|
David H. Salinger, University of Washington, Columbia Basin Research|
R. Tyrrell Rockafellar, University of Washington, Department of Mathematics
|Title:||Dynamic splitting – An algorithm for deterministic and stochastic multiperiod optimization|
|Date of Acceptance:||17.05.2003|
Stochastic Programming E-Print Series |
|Editors:||Julie L. Higle; Werner Römisch; Surrajeet Sen|
|Keywords (eng):||stochastic programming, dynamic programming, Fenchel duality, duality, maximal monotone operator, operator splitting, Lagrangian, saddle point|
|Metadata export: To export the complete metadata set as Endote or Bibtex format please click to the appropriate link.||Endnote Bibtex|
|print on demand: If you click on this icon you can order a print copy of this publication.|
|A new algorithm for the nonlinear multistage stochastic programming problem (MSP) is presented; one that is reasonable for the large-scale problem (e.g. long term hydropower scheduling) and is highly parallel. The algorithm is based on the application of Spingarn's operator splitting method to the saddle point problem associated with the MSP. The splitting method imposes a decomposability which results in two main subproblems to be solved at each iteration. One is reformulated as an unconstrained linear-quadratic dynamic programming problem and is solved via a linear feedback loop solution extended to the scenario tree structure. The other subproblem is separable into box constrained convex sub-subproblems for each decision state. This crucial separable structure arises only from the splitting of the saddle point problem formulation. The algorithm was tested on a hydropower scheduling test problem containing 165,000 control variables.|
These data concerning access statistics for individual documents
have been compiled using the webserver log files aggregated by AWSTATS.
They refer to a monthly access count to the full text documents as well as to the entry page.
As for format versions of a document which consist of multiple files (such as HTML) the highest monthly access number to one of the files (chapters) is shown respectivly.
To see the detailled access numbers please move the mouse pointer over the single bars of the digaram.
Gesamtzahl der Zugriffe seit Jan 2016: