On May 26, the Business School invited Professor Sun Jie, a renowned scholar in international optimization theory from Curtin University, Australia, to deliver a lecture entitled The Equivalence between the Progressive Hedging Algorithm and the Alternating Direction Method and its Applications in Multistage Stochastic Programming. The event, hosted by the Department of Systems Science, attracted over 50 faculty members and students from disciplines including systems science, mathematics, applied mathematics, and management science and engineering. The lecture was presided over by Associate Professor Dang Yazheng.
Professor Sun began by introducing the unified progressive decomposition algorithm framework recently proposed by Professor Rockafellar, highlighting that the Progressive Hedging Algorithm (PHA) and the Alternating Direction Method of Multipliers (ADMM) can be regarded as mathematically equivalent in solving multistage stochastic optimization problems. Through rigorous mathematical derivations, he demonstrated that their iterative processes are fully aligned.
During the Q&A session, Sun encouraged students to focus on long-term curiosity-driven exploration rather than short-term practicality—a perspective that resonated deeply with the audience. He emphasized that the connection between PHA and ADMM not only revealed a unified structure but also opened a mathematical treasure trove for researchers. This theoretical breakthrough holds significant value for both academic research and practical applications, such as financial risk management and engineering optimization.
The lecture provided attendees with insights into modern optimization methodologies and novel approaches for modeling complex stochastic systems.
About Professor Sun Jie
Professor Sun Jie is a leading scholar in operations research and optimization. Formerly a Chair Professor at the National University of Singapore, he currently serves as a Distinguished Research Professor in the Department of Mathematics and Statistics at Curtin University. With over 300 papers published in top-tier journals such as Mathematical Programming and SIAM Journal on Optimization, he has established extensive influence in optimization theory. His research focuses on multistage decision-making, risk-averse modeling, and algorithm convergence analysis.
Translated by Wei Xin
Reviewed by Liu Weiwei
