@TECHREPORT\{IMM1993-06738,
    author       = "O. P. Palsson and H. F. Ravn",
    title        = "Scenario analysis and the progressive hedging algorithm - simple numerical examples",
    year         = "1993",
    pages        = "28",
    number       = "",
    series       = "Technical report / {IMSOR} ; 11",
    institution  = "Technical University of Denmark, Department of Applied Mathematics and Computer Science",
    address      = "Matematiktorvet, Building 303B, {DK-}2800 Kgs. Lyngby, Denmark, compute@compute.dtu.dk",
    type         = "",
    url          = "http://www.imm.dtu.dk/English.aspx",
    abstract     = "The 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."
}