|edoc-Server der Humboldt-Universität zu Berlin|
Teemu Pennanen, Helsinki School of Economics|
Markku Kallio, Helsinki School of Economics
|Title:||A splitting method for stochastic programs|
|Date of Acceptance:||14.03.2002|
Stochastic Programming E-Print Series |
|Editors:||Julie L. Higle; Werner Römisch; Surrajeet Sen|
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|This paper derives a new splitting-based decomposition algorithm for convex stochastic programs. It combines certain attractive features of the progressive hedging algorithm of Rockafellar and Wets, the dynamic splitting algorithm of Salinger and Rockafellar and an algorithm of Korf. We give two derivations of our algorithm. The first one is very simple, and the second one yields a preconditioner that can be used to speed up the convergence.|
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