Abstract
This short note discusses some structural properties of the progressive hedging algorithm. It is based on the finite case, but allows for event trees that are unbalanced and where the nodes can have a varying number of children. Generic procedures and a generic record definition for the algorithms are presented.
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Wallace, S.W., Helgason, T. Structural properties of the progressive hedging algorithm. Ann Oper Res 31, 445–455 (1991). https://doi.org/10.1007/BF02204862
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DOI: https://doi.org/10.1007/BF02204862