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A multistage stochastic programming algorithm suitable for parallel computing
Linköping University, Department of Mathematics, Optimization . Linköping University, The Institute of Technology.
2003 (English)In: Parallel Computing, ISSN 0167-8191, Vol. 29, no 4, 431-445 p.Article in journal (Refereed) Published
Abstract [en]

In [Euro. J. Operat. Res. 143 (2002) 452, Opt. Meth. Software 17 (2002) 383] a Riccati-based primal interior point method for multistage stochastic programmes was developed. This algorithm has several interesting features. It can solve problems with a nonlinear node-separable convex objective, local linear constraints and global linear constraints. This paper demonstrates that the algorithm can be efficiently parallelized. The solution procedure in the algorithm allows for a simple but efficient method to distribute the computations. The parallel algorithm has been implemented on a low-budget parallel computer, where we experience almost perfect linear speedup and very good scalability of the algorithm. © 2003 Elsevier Science B.V. All rights reserved.

Place, publisher, year, edition, pages
Amsterdam, Netherlands: Elsevier, 2003. Vol. 29, no 4, 431-445 p.
Keyword [en]
Dynamic programming, Finance, Interior point methods, Parallel computing, Stochastic programming
National Category
Engineering and Technology
URN: urn:nbn:se:liu:diva-46688DOI: 10.1016/S0167-8191(03)00015-2ISI: 000182061100005OAI: diva2:267584
International Conference on Parallel Computing in Numerical Optimization (ParCo 2001), Naples, Italy, September 2001
Available from: 2009-10-11 Created: 2009-10-11 Last updated: 2014-08-20Bibliographically approved

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Blomvall, Jörgen
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Optimization The Institute of Technology
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ReferencesLink to record
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