A Single-Loop Minorized Dual Decomposition Method for Nonsmooth Multi-Stage Stochastic Programming

Abstract

In this paper, we study multi-stage stochastic programming (MSP) problems with nonsmooth composite objectives. Tailored to their intrinsic stage-wise and scenario-wise structure, we develop a single-loop minorized dual decomposition method, in which each iteration constructs a minorized problem and its restricted Wolfe dual, and then performs \textit{one iteration} of the symmetric Gauss--Seidel based inexact alternating direction method of multipliers on the resulting dual problem to generate the next iterate. A key feature of the proposed optimization framework is that the resulting updates preserve the stage-wise and scenario-wise decomposable structure of the MSP problem and are suitable for parallel implementation. We establish global convergence of the generated iterates for the three-stage case and further establish the corresponding global convergence theorem for the general multi-stage setting. Numerical experiments illustrate the computational viability of the proposed framework and its favorable scaling behavior with respect to the stage-wise and scenario-wise structure.