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Mixing stochastic dynamic programming and scenario aggregation
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DOI：10.1007/BF02187638.png)
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This paper describes a serial and parallel implementation of a hybrid stochastic dynamic programming and progressive hedging algorithm. Numerical experiments show good speedups in the parallel implementation. In spite of this, our hybrid algorithm has difficulties competing with a pure stochastic dynamic programming approach on a given test case from macroeconomic control theory.
Keyword:
stochastic optimization
stochastic dynamic programming
progressive hedging
parallelization
macroeconomic control
期刊
IF:
4.5
论文数:
8.1K
被引数:
2.1W
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