An ADMM algorithm for two-stage stochastic programming problems
Sebastian Arpon
, Tito Homem-de-Mello
,
2020, Annals of Operations Research, 286, pp.559-582
Résumé
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.