Universidad Adolfo Ibañez

An ADMM algorithm for two-stage stochaastic programming problems

Área de publicación Operaciones
Tipo de publicación Artículos
Fecha de publicación 2019
Autores Tito Homem-de-Mello - - Sebastian Arpon

The alternate direction method of multipliers (ADMM) has received significant attention recently as a powerful algorithm to solve convex problems with a block structure. The vast majority of applications focus on deterministic problems. In this paper we show that ADMM can be applied to solve two-stage stochastic programming problems, and we propose an implementation in three blocks with or without proximal terms. We present numerical results for large scale instances, and extend our findings for risk averse formulations using utility functions.

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