Combining Progressive Hedging with a Frank--Wolfe Method to Compute Lagrangian Dual Bounds in Stochastic Mixed-Integer Programming


We present a new primal-dual algorithm for computing the value of the Lagrangian dual of a stochastic mixed-integer program (SMIP) formed by relaxing its nonanticipativity constraints. This dual is widely used in decomposition methods for the solution of SMIPs. The algorithm relies on the well-known progressive hedging method, but unlike previous progressive hedging approaches for SMIP, our algorithm can be shown to converge to the optimal Lagrangian dual value. The key improvement in the new algorithm is an inner loop of optimized linearization steps, similar to those taken in the classical Frank–Wolfe method. Numerical results demonstrate that our new algorithm empirically outperforms the standard implementation of progressive hedging for obtaining bounds in SMIP.

SIAM Journal on Optimization
Fabricio Oliveira
Fabricio Oliveira
Associate Professor of Operational Research

Fabricio Oliveira is an Associate Professor of Operational Research in the Department of Mathematics and Systems Analysis.