In Pallson and Ravn (http://www2.imm.dtu.dk/pubdb/views/publication_details.php?id=6738) two small, basic examples of the progressive hedging algorithm are given. It is always a good exercise to see if we can reproduce the results. The first example is actually not very difficult to reproduce:
Results in paper:
Results from GAMS model:
xhat converges to the optimal solution xhat=3.8 quite quickly.