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Structural properties of the progressive hedging algorithm

✍ Scribed by Stein W. Wallace; Thorkell Helgason


Book ID
112711970
Publisher
Springer US
Year
1991
Tongue
English
Weight
428 KB
Volume
31
Category
Article
ISSN
0254-5330

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A progressive hedging method incorporated with self-concordant barrier for solving multistage stochastic programs is proposed recently by Zhao [G. Zhao, A Lagrangian dual method with self-concordant barrier for multistage stochastic convex nonlinear programming, Math. Program. 102 (2005) 1-24]. The