Publications

M. Lubin, K. Martin, C. Petra, B. Sandikci, "On Parallelizing Dual Decomposition in Stochastic Integer Programming," Preprint ANL/MCS-P3037-0912, September 2012. [pdf]

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 identified as a remaining barrier to parallel scalability.