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2002-03-14Buch DOI: 10.18452/8267
A splitting method for stochastic programs
dc.contributor.authorPennanen, Teemu
dc.contributor.authorKallio, Markku
dc.contributor.editorHigle, Julie L.
dc.contributor.editorRömisch, Werner
dc.contributor.editorSen, Surrajeet
dc.date.accessioned2017-06-16T19:46:49Z
dc.date.available2017-06-16T19:46:49Z
dc.date.created2006-02-16
dc.date.issued2002-03-14
dc.identifier.urihttp://edoc.hu-berlin.de/18452/8919
dc.description.abstractThis 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.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Mathematisch-Naturwissenschaftliche Fakultät II, Institut für Mathematik
dc.subject.ddc510 Mathematik
dc.titleA splitting method for stochastic programs
dc.typebook
dc.identifier.urnurn:nbn:de:kobv:11-10058341
dc.identifier.urnurn:nbn:de:kobv:11-10058351
dc.identifier.doihttp://dx.doi.org/10.18452/8267
local.edoc.container-titleStochastic Programming E-Print Series
local.edoc.pages9
local.edoc.type-nameBuch
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-volume2002
local.edoc.container-issue3
local.edoc.container-erstkatid2936317-2

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