An ADMM algorithm for two-stage stochastic programming problems

Sebastián Arpón (), Tito Homem- de-Mello () and Bernardo K. Pagnoncelli ()
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Sebastián Arpón: Universidad Adolfo Ibáñez
Tito Homem- de-Mello: Universidad Adolfo Ibáñez
Bernardo K. Pagnoncelli: Universidad Adolfo Ibáñez

Annals of Operations Research, 2020, vol. 286, issue 1, No 24, 559-582

Abstract: Abstract The alternate direction method of multipliers (ADMM) has received significant attention recently as a powerful algorithm to solve convex problems with a block structure. The vast majority of applications focus on deterministic problems. In this paper we show that ADMM can be applied to solve two-stage stochastic programming problems, and we propose an implementation in three blocks with or without proximal terms. We present numerical results for large scale instances, and extend our findings for risk averse formulations using utility functions.

Date: 2020
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DOI: 10.1007/s10479-019-03471-0

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