A Riccati-based primal interior point solver for multistage stochastic programming
2002 (English)In: European Journal of Operational Research, ISSN 0377-2217, Vol. 143, no 2, 452-461 p.Article in journal (Refereed) Published
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.
Dynamic programming, Finance, Interior point methods, Stochastic programming
Engineering and Technology
IdentifiersURN: urn:nbn:se:liu:diva-46814DOI: 10.1016/S0377-2217(02)00301-6ISI: 000178249600016OAI: oai:DiVA.org:liu-46814DiVA: diva2:267710