Scenario analysis and the progressive hedging algorithm - simple numerical examples

Olafur P. Palsson, Hans F. Ravn

AbstractThe Progressive Hedging Algorithm (PHA) is a new method which may be applied to multiperiod optimiztion problems under uncertainty. It was first presented in Rockafellar and Wets (1991). In their paper no examples are given and the main emphasize is on the proofs and convergence analysis. Therefore, in order to understand the idea behind scenario analysis and PHA very simple numerical examples are given in this paper and the results are compared to results derived from classical stochastic optimization methods.
TypeTechnical report
Year1993    pp. 28
PublisherTechnical University of Denmark, Department of Applied Mathematics and Computer Science
AddressMatematiktorvet, Building 303B, DK-2800 Kgs. Lyngby, Denmark,
SeriesTechnical report / IMSOR ; 11
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IMM Group(s)Operations Research