Papers › Randomized Progressive Hedging methods for Multi-stage Stochastic Programming
Randomized Progressive Hedging methods for Multi-stage Stochastic Programming
Gilles Bareilles, Yassine Laguel, Dmitry Grishchenko, Franck Iutzeler, Jérôme Malick
The archive published only this paper's code-link row. Authors, date and abstract are from arXiv's metadata (CC0), read from the Kaggle arXiv metadata snapshot of 2026-09-12 where its title matched the archive's; the title is the archive's.
Progressive Hedging is a popular decomposition algorithm for solving multi-stage stochastic optimization problems. A computational bottleneck of this algorithm is that all scenario subproblems have to be solved at each iteration. In this paper, we introduce randomized versions of the Progressive Hedging algorithm able to produce new iterates as soon as a single scenario subproblem is solved. Building on the relation between Progressive Hedging and monotone operators, we leverage recent results on randomized fixed point methods to derive and analyze the proposed methods. Finally, we release the corresponding code as an easy-to-use Julia toolbox and report computational experiments showing the practical interest of randomized algorithms, notably in a parallel context. Throughout the paper, we pay a special attention to presentation, stressing main ideas, avoiding extra-technicalities, in order to make the randomized methods accessible to a broad audience in the Operations Research community.
Code
Repository list and official/mentioned flags are the archive's, frozen 2025-07-28. Reachability, where shown, is from one Syntology probe window (2026-09-16 to 2026-09-18); repositories not probed show nothing. GitHub stars are not tracked.
Code Syntology ran Syntology
Not run by Syntology. Nothing on this page verifies that the listed code works.
Results from the paper archive 2025-07-28
No leaderboard rows for this paper in the archive.
Report a problem or propose a change · a person checks every report against the paper or source before anything changes; decisions are listed on /corrections