relation: https://pure.iiasa.ac.at/id/eprint/4204/
title: On Augmented Lagrangian Decomposition Methods For Multistage Stochastic Programs
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 or decomposing it into nodes  corresponding to stages. In both cases the method has favorable convergence  properties and a structure which makes it convenient for parallel computing  environments.
publisher: WP-94-005
date: 1994-02
type: Monograph
type: NonPeerReviewed
format: text
language: en
identifier: https://pure.iiasa.ac.at/id/eprint/4204/1/WP-94-005.pdf
identifier:   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-94-005