relation: https://pure.iiasa.ac.at/id/eprint/4089/
title: On Augmented Lagrangian Decomposition Methods for Multistage Stochastic Programs
creator: Rosa, C.H.
creator: Ruszczynski, A.
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: 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.
publisher: WP-94-125
date: 1994-12
type: Monograph
type: NonPeerReviewed
format: text
language: en
identifier: https://pure.iiasa.ac.at/id/eprint/4089/1/WP-94-125.pdf
identifier:   Rosa, C.H. <https://pure.iiasa.ac.at/view/iiasa/1541.html> & Ruszczynski, A. <https://pure.iiasa.ac.at/view/iiasa/1544.html>  (1994).  On Augmented Lagrangian Decomposition Methods for Multistage Stochastic Programs.   IIASA Working Paper. IIASA, Laxenburg, Austria: WP-94-125