?url_ver=Z39.88-2004&rft_val_fmt=info%3Aofi%2Ffmt%3Akev%3Amtx%3Adc&rft.relation=https%3A%2F%2Fpure.iiasa.ac.at%2Fid%2Feprint%2F4089%2F&rft.title=On+Augmented+Lagrangian+Decomposition+Methods+for+Multistage+Stochastic+Programs&rft.creator=Rosa%2C+C.H.&rft.creator=Ruszczynski%2C+A.&rft.description=A+general+decomposition+framework+for+large+convex+optimization+problems+based+on+augmented+Lagrangians+is+described.+The+approach+is+then+applied+to+multistage+stochastic+programming+problems+in+two+different+ways%3A+by+decomposing+the+problem+into+scenarios+and+by+decomposing+it+into+nodes+corresponding+to+stages.+Theoretical+convergence+properties+of+the+two+approaches+are+derived+and+a+computational+illustration+is+presented.&rft.publisher=WP-94-125&rft.date=1994-12&rft.type=Monograph&rft.type=NonPeerReviewed&rft.format=text&rft.language=en&rft.identifier=https%3A%2F%2Fpure.iiasa.ac.at%2Fid%2Feprint%2F4089%2F1%2FWP-94-125.pdf&rft.identifier=++Rosa%2C+C.H.+%3Chttps%3A%2F%2Fpure.iiasa.ac.at%2Fview%2Fiiasa%2F1541.html%3E+%26+Ruszczynski%2C+A.+%3Chttps%3A%2F%2Fpure.iiasa.ac.at%2Fview%2Fiiasa%2F1544.html%3E++(1994).++On+Augmented+Lagrangian+Decomposition+Methods+for+Multistage+Stochastic+Programs.+++IIASA+Working+Paper.+IIASA%2C+Laxenburg%2C+Austria%3A+WP-94-125+++++