Research Article
A Parallelized Variable Fixing Process for Solving Multistage Stochastic Programs with Progressive Hedging
(1) | function PHVF | (2) | fixed nodes = fixVaribles() | (3) | if problem small enough then | (4) | Solve reduced extensive form. | (5) | else | (6) | for in fixed nodes which successor are not fixed do | (7) | for mdo | (8) | PHVF | (9) | end for | (10) | end for | (11) | end if | (12) | return | (13) | end function |
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