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BBPH - Using Progressive Hedging inside Branch and Bound nodes to Solve Multi-Stage Stochastic Mixed Integer ProgramsStudent-Run Applied & Math Seminar
|Speaker: ||Jason Barnett, UC Davis|
|Location: ||2112 MSB|
|Start time: ||Wed, Jan 20 2016, 12:10PM|
Progressive hedging (PH), though an effective heuristic for stochastic MIPs, is not guaranteed convergence in the integer case. Here, we propose BBPH, a branch and bound algorithm that uses PH within each node that, given enough time, will always converge to the optimal solution. Interesting avenues of research emerge answering the questions of obtaining bounds in a reasonable amount of time, exploiting parallelism, and branching decisions.