How to use CVaR for progressive hedging (runph)

[Abodh Poudyal]

Hello,

I want to introduce CVaR objective in my two-stage stochastic optimization problem. I could do that with the runef script that provides some tags to do so such as - - generate-weighted-cvar, - -cvar-weight, and so forth. However, I have a lot of scenarios to solve for and my extensive form takes too much time to solve (not sure if it solves at all as I could not see any solution for hours).

However, progressive hedging (runph) does solve the problem for me but it's the general version of the problem and I actually want to have CVaR of the second stage in my overall objective. I did find some ways in runph - -help. However, they are just the option for extensive form (which already takes an infinite time to solve) of the problem as shown below. 

The PH does not solve the CVaR-based problem as the final solution looks the same as the base case. I am not sure if I explained my problem well here but can anyone please help me?

Regards,

Abodh