Optimal scenario set partitioning for multistage stochastic programming with the progressive hedging algorithm

In this paper, we propose a new approach to reduce the total running time (RT) of the progressive hedging algorithm (PHA) for solving multistage stochastic programs (MSPs) defined on a scenario tree. Instead of using the conventional scenario decomposition scheme, we apply a multi-scenario decomposition scheme and partition the scenario set in order to minimize … Read more