Asynchronous Lagragian Scenario Decompostion: Source Code

This repository contains the implementation of a parallel asynchronous Lagrangian scenario decomposition algorithm for solving two-stage stochastic mixed-integer problems.

The source code is provided as submitted for revision of the paper below by Mathematical Programming Computation. To obtain the most up-to-date version, please visit https://github.com/iaravena/AsyncLSD/.

Citation
If you find this repository useful in your work, we kindly request that you cite the following paper:

@article{AravenaPapavasiliou2020,
author = {Ignacio Aravena and Anthony Papavasiliou},
title = {Asynchronous Lagrangian Scenario Decomposition},
journal = {Mathematical Programming Computation},
volume = {},
number = {},
pages = {},
year = {2020},
doi = {10.1007/s12532-020-00185-4},
}

Acknowledgement
This work was partially funded by the ENGIE Chair on Energy Economics and Energy Risk Management, by the Universite catholique de Louvain through an FSR grant, and by the U.S. Department of Energy through the Lawrence Livermore National Laboratory under contract DE-AC52-07NA27344.