RT Monograph
SR 00
A1 Ruszczynski, A.
T1 On Augmented Lagrangian Decomposition Methods For Multistage Stochastic Programs
YR 1994
FD 1994-02
SP 8
AB 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.
PB WP-94-005
PP IIASA, Laxenburg, Austria
AV Published
LK https://pure.iiasa.ac.at/id/eprint/4204/