Mixing stochastic dynamic programming and scenario aggregation

被引：3

作者：

Berland, NJ ^{[1
]}

Haugen, KK ^{[1
]}

机构：

[1] NORWEGIAN INST TECHNOL,DEPT MANAGEMENT ECON & OPERAT RES,N-7034 TRONDHEIM,NORWAY

来源：

ANNALS OF OPERATIONS RESEARCH | 1996年 / 64卷

关键词：

stochastic optimization; stochastic dynamic programming; progressive hedging; parallelization; macroeconomic control;

D O I：

10.1007/BF02187638

中图分类号：

C93 [管理学]; O22 [运筹学];

学科分类号：

070105 ; 12 ; 1201 ; 1202 ; 120202 ;

摘要：

This paper describes a serial and parallel implementation of a hybrid stochastic dynamic programming and progressive hedging algorithm. Numerical experiments show good speedups in the parallel implementation. In spite of this, our hybrid algorithm has difficulties competing with a pure stochastic dynamic programming approach on a given test case from macroeconomic control theory.

引用

页码：1 / 19

页数：19

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[5]

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