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2003-05-17Buch DOI: 10.18452/8288
Dynamic splitting
dc.contributor.authorDAVID, H.
dc.contributor.authorRockafellar, R. Tyrrell
dc.contributor.editorHigle, Julie L.
dc.contributor.editorRömisch, Werner
dc.contributor.editorSen, Surrajeet
dc.date.accessioned2017-06-16T19:51:41Z
dc.date.available2017-06-16T19:51:41Z
dc.date.created2006-03-01
dc.date.issued2003-05-17
dc.date.submitted2003-04-14
dc.identifier.urihttp://edoc.hu-berlin.de/18452/8940
dc.description.abstractA 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.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Mathematisch-Naturwissenschaftliche Fakultät II, Institut für Mathematik
dc.subjectstochastic programmingeng
dc.subjectdynamic programmingeng
dc.subjectFenchel dualityeng
dc.subjectdualityeng
dc.subjectmaximal monotone operatoreng
dc.subjectoperator splittingeng
dc.subjectLagrangianeng
dc.subjectsaddle pointeng
dc.subject.ddc510 Mathematik
dc.titleDynamic splitting
dc.typebook
dc.subtitleAn algorithm for deterministic and stochastic multiperiod optimization
dc.identifier.urnurn:nbn:de:kobv:11-10058960
dc.identifier.urnurn:nbn:de:kobv:11-10058970
dc.identifier.doihttp://dx.doi.org/10.18452/8288
local.edoc.container-titleStochastic Programming E-Print Series
local.edoc.pages23
local.edoc.type-nameBuch
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-volume2003
local.edoc.container-issue6
local.edoc.container-erstkatid2936317-2

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