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A Riccati-based primal interior point solver for multistage stochastic programming
Linköping University, Department of Mathematics, Optimization . Linköping University, The Institute of Technology.
Linköping University, Department of Mathematics, Optimization . Linköping University, The Institute of Technology.
2002 (English)In: European Journal of Operational Research, ISSN 0377-2217, Vol. 143, no 2, 452-461 p.Article in journal (Refereed) Published
Abstract [en]

We propose a new method for certain multistage stochastic programs with linear or nonlinear objective function, combining a primal interior point approach with a linear-quadratic control problem over the scenario tree. The latter problem, which is the direction finding problem for the barrier subproblem is solved through dynamic programming using Riccati equations. In this way we combine the low iteration count of interior point methods with an efficient solver for the subproblems. The computational results are promising. We have solved a financial problem with 1,000,000 scenarios, 15,777,740 variables and 16,888,850 constraints in 20 hours on a moderate computer. © 2002 Elsevier Science B.V. All rights reserved.

Place, publisher, year, edition, pages
Amsterdam, Netherlands: Elsevier, 2002. Vol. 143, no 2, 452-461 p.
Keyword [en]
Dynamic programming, Finance, Interior point methods, Stochastic programming
National Category
Engineering and Technology
Identifiers
URN: urn:nbn:se:liu:diva-46814DOI: 10.1016/S0377-2217(02)00301-6ISI: 000178249600016OAI: oai:DiVA.org:liu-46814DiVA: diva2:267710
Available from: 2009-10-11 Created: 2009-10-11 Last updated: 2014-08-19Bibliographically approved

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Blomvall, JörgenLindberg, Per Olov

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