Jean-Paul Watson

Progressive Hedging Innovations for a Class of Stochastic Resource Allocation Problems

Categories Production and Logistics, Stochastic Programming Tags , ,

Progressive hedging (PH) is a scenario-based decomposition technique for solving stochastic programs. While PH has been successfully applied to a number of problems, a variety of issues arise when implementing PH in practice, especially when dealing with very difficult or large-scale mixed-integer problems. In particular, decisions must be made regarding the value of the penalty … Read more

Scalable Heuristics for Stochastic Programming with Scenario Selection

Categories Stochastic Programming Tags , , ,

We describe computational procedures to solve a wide-ranging class of stochastic programs with chance constraints where the random components of the problem are discretely distributed. Our procedures are based on a combination of Lagrangian relaxation and scenario decomposition, which we solve using a novel variant of Rockafellar and Wets’ progressive hedging algorithm. Experiments demonstrate the … Read more