A Progressive Hedging based branch-and-bound algorithm for mixed-integer stochastic programs

摘要

Progressive Hedging (PH) is a well-known algorithm for solving multi-stage stochastic convex optimization problems. Most previous extensions of PH for mixed-integer stochastic programs have been implemented without convergence guarantees. In this paper, we present a new framework that shows how PH can be utilized while guaranteeing convergence to globally optimal solutions of mixed-integer stochastic convex programs. We demonstrate the effectiveness of the proposed framework through computational experiments.