Abstract
This paper describes how the scenario aggregation principle can be combined with approximate solutions of the individual scenario problems, resulting in a computationally efficient algorithm where two individual Lagrangian-based procedures are merged into one. Computational results are given for an example from fisheries management. Numerical experiments indicate that only crude scenario solutions are needed.
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Helgason, T., Wallace, S.W. Approximate scenario solutions in the progressive hedging algorithm. Ann Oper Res 31, 425–444 (1991). https://doi.org/10.1007/BF02204861
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DOI: https://doi.org/10.1007/BF02204861