A Parallelized Variable Fixing Process for Solving Multistage Stochastic Programs with Progressive Hedging

<div>Example of scenario representation in a compact form (a) and in a detached form (b). The red-dotted ellipses show the nonanticipativity constraints that need to be imposed.</div>

Advances in Operations Research

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Figure 2

Figure 2: A Parallelized Variable Fixing Process for Solving Multistage Stochastic Programs with Progressive Hedging 