On Parallelizing Dual Decomposition in Stochastic Integer Programming
|Title||On Parallelizing Dual Decomposition in Stochastic Integer Programming|
|Publication Type||Journal Article|
|Year of Publication||2013|
|Authors||Lubin, M, Martin, K, Petra, CG, Sandikci, B|
|Journal||Operations Research Letters|
For stochastic mixed-integer programs, we revisit the dual decomposition algorithm of Care and Schultz from a computational perspective with the aim of its parallelization. We address an important bottleneck of parallel execution by identifying a formulation that permits the parallel solution of the master program by using structure-exploiting interior-point solvers. Our results demonstrate the potential for parallel speedup and the importance of regularization (stabilization) in the dual optimization. Load imbalance is identified as a remaining barrier to parallel scalability.