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Structural properties of the progressive hedging algorithm

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Abstract

This short note discusses some structural properties of the progressive hedging algorithm. It is based on the finite case, but allows for event trees that are unbalanced and where the nodes can have a varying number of children. Generic procedures and a generic record definition for the algorithms are presented.

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References

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Authors and Affiliations

  1. Haugesund Maritime College, Skåregaten 103, N-5500, Haugesund, Norway

    Stein W. Wallace

  2. University of Iceland, Dunhagi 3, S-107, Reykjavík, Iceland

    Thorkell Helgason

Authors
  1. Stein W. Wallace
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  2. Thorkell Helgason
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Wallace, S.W., Helgason, T. Structural properties of the progressive hedging algorithm. Ann Oper Res 31, 445–455 (1991). https://doi.org/10.1007/BF02204862

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  • DOI: https://doi.org/10.1007/BF02204862

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