Basic progressive hedging implementation in Julia
Author NREL
12 Stars
Updated Last
1 Year Ago
Started In
July 2019

ProgressiveHedging.jl is a basic implementation of the Progressive Hedging algorithm which is used to solve stochastic programs.

ProgressiveHedging.jl makes use of the JuMP framework to build and solve the subproblems. It can be used with Julia's Distributed package to solve problems in parallel.

Users pass a function that builds a JuMP model along with a scenario tree and a dictionary identifying the variables in each stage.

Examples written in a Jupyter notebook may be found in the Examples directory.