An Implementation of Progressive Hedging Algorithm for Engineering Problems

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The purpose of the paper is to introduce an original parallel implementation of the decomposition algorithm for large-scale engineeering decision making problems involving uncertain parameters. Reference to these problems in mechanical and civil engineering are included. Specifically, a mathematical programming approach is chosen to model decisions. The uncertain parameters are modeled by random elements with discrete probability distributions. Therefore, the suitable models are scenario-based stochastic programs that may have several stages. Among the decomposition algorithms, we have chosen a progressive hedging algorithm (PHA) that is suitable also for the common case in engineering when nonlinear programs are related to scenarios. The algorithm is described in the form that is suitable for an object-oriented implementation and further implemented within the object-oriented framework for parallel computations. However, the inner parts of the implementation allows to use various solvers for the scenario-related problems. We have chosen the GAMS as a good initial to solve problems of scenarios. The original example is utilized to illustrate algorithm's implementation behaviour and further large-scale tests are listed.

scenario-based stochastic program, progressive hedging algorithm, object-oriented approach, optimization software GAMS

2010-06-23

BUT

Brno

978-80-214-4120-0

MENDEL 2010 – 16th International Conference on Soft Computing

459–464

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