Gradient-based rho Parameter for Progressive Hedging
Watson and Woodruff (2011) developed a heuristic for computing variable-dependent values of the penalty parameter $\rho$ from the model itself. We combine this heuristic with a gradient-based method, in order to obtain a new method for calculating $\rho$ values. We then introduce a method for iteratively computing variable-dependent $\rho$ values. This method is based on … Read more