On solving large-scale multistage stochastic optimization problems with a new specialized interior-point approach (Q6113326): Difference between revisions

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scientific article; zbMATH DE number 7709816

Language	Label	Description	Also known as
English	On solving large-scale multistage stochastic optimization problems with a new specialized interior-point approach	scientific article; zbMATH DE number 7709816

Statements

instance of

scholarly article

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title

On solving large-scale multistage stochastic optimization problems with a new specialized interior-point approach (English)

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author

Jordi Castro

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Laureano Fernando Escudero Bueno

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Juan Francisco Monge

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published in

European Journal of Operational Research

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publication date

11 July 2023

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zbMATH Keywords

large-scale optimization

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interior-point methods

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stochastic programming

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strategic and operational uncertainties

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two-stage structures

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MaRDI profile type

MaRDI publication profile

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cites work

On dealing with strategic and tactical decision levels in forestry planning under uncertainty

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Decomposition and Partitioning Methods for Multistage Stochastic Linear Programs

0 references

Introduction to Stochastic Programming

0 references

A Riccati-based primal interior point solver for multistage stochastic programming

0 references

Improving an interior-point approach for large block-angular problems by hybrid preconditioners

0 references

On strategic multistage operational two-stage stochastic 0--1 optimization for the rapid transit network design problem

0 references

A Specialized Interior-Point Algorithm for Multicommodity Network Flows

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An interior-point approach for primal block-angular problems

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Interior-point solver for convex separable block-angular problems

0 references

Quadratic regularizations in an interior-point method for primal block-angular problems

0 references

A new interior-point approach for large separable convex quadratic two-stage stochastic problems

0 references

Scenarios for multistage stochastic programs

0 references

Scenario cluster Lagrangean decomposition for risk averse in multistage stochastic optimization

0 references

On capacity expansion planning under strategic and operational uncertainties based on stochastic dominance risk averse management

0 references

Multiscale stochastic optimization: modeling aspects and scenario generation

0 references

Interior point methods 25 years later

0 references

Convergence Analysis of an Inexact Feasible Interior Point Method for Convex Quadratic Programming

0 references

Large-scale optimization with the primal-dual column generation method

0 references

Solving nonlinear portfolio optimization problems with the primal-dual interior point method

0 references

Scenario tree modeling for multistage stochastic programs

0 references

Problem-based optimal scenario generation and reduction in stochastic programming

0 references

A heuristic for moment-matching scenario generation

0 references

A Distributed Interior-Point KKT Solver for Multistage Stochastic Optimization

0 references

Algorithmic innovations and software for the dual decomposition method applied to stochastic mixed-integer programs

0 references

Quasi-Monte Carlo methods for linear two-stage stochastic programming problems

0 references

Formulating Two-Stage Stochastic Programs for Interior Point Methods

0 references

Bounds in multi-horizon stochastic programs

0 references

Exploiting hardware capabilities in interior point methods

0 references

Block Sparse Cholesky Algorithms on Advanced Uniprocessor Computers

0 references

Multistage Stochastic Optimization

0 references

Dynamic generation of scenario trees

0 references

Scenarios and Policy Aggregation in Optimization Under Uncertainty

0 references

Q2752043

0 references

The theory and practice of revenue management

0 references

Design and implementation of a modular interior-point solver for linear optimization

0 references

Q5691079

0 references

Identifiers

Mathematics Subject Classification ID

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10.1016/J.EJOR.2023.03.042

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Sitelinks

Mathematics(1 entry)

mardi Publication:6113326

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-.1016/j.ejor.2023.03.042
@@ Property / DOI: 10.1016/j.ejor.2023.03.042 / rank @@
-Normal rank
@@ Property / cites work @@
+On dealing with strategic and tactical decision levels in forestry planning under uncertainty
+Normal rank
@@ Property / cites work @@
+Decomposition and Partitioning Methods for Multistage Stochastic Linear Programs
+Normal rank
@@ Property / cites work @@
+Introduction to Stochastic Programming
@@ Property / cites work: Introduction to Stochastic Programming / rank @@
+Normal rank
@@ Property / cites work @@
+A Riccati-based primal interior point solver for multistage stochastic programming
+Normal rank
@@ Property / cites work @@
+Improving an interior-point approach for large block-angular problems by hybrid preconditioners
+Normal rank
@@ Property / cites work @@
+On strategic multistage operational two-stage stochastic 0--1 optimization for the rapid transit network design problem
+Normal rank
@@ Property / cites work @@
+A Specialized Interior-Point Algorithm for Multicommodity Network Flows
+Normal rank
@@ Property / cites work @@
+An interior-point approach for primal block-angular problems
+Normal rank
@@ Property / cites work @@
+Interior-point solver for convex separable block-angular problems
+Normal rank
@@ Property / cites work @@
+Quadratic regularizations in an interior-point method for primal block-angular problems
+Normal rank
@@ Property / cites work @@
+A new interior-point approach for large separable convex quadratic two-stage stochastic problems
+Normal rank
@@ Property / cites work @@
+Scenarios for multistage stochastic programs
@@ Property / cites work: Scenarios for multistage stochastic programs / rank @@
+Normal rank
@@ Property / cites work @@
+Scenario cluster Lagrangean decomposition for risk averse in multistage stochastic optimization
+Normal rank
@@ Property / cites work @@
+On capacity expansion planning under strategic and operational uncertainties based on stochastic dominance risk averse management
+Normal rank
@@ Property / cites work @@
+Multiscale stochastic optimization: modeling aspects and scenario generation
+Normal rank
@@ Property / cites work @@
+Interior point methods 25 years later
@@ Property / cites work: Interior point methods 25 years later / rank @@
+Normal rank
@@ Property / cites work @@
+Convergence Analysis of an Inexact Feasible Interior Point Method for Convex Quadratic Programming
+Normal rank
@@ Property / cites work @@
+Large-scale optimization with the primal-dual column generation method
+Normal rank
@@ Property / cites work @@
+Solving nonlinear portfolio optimization problems with the primal-dual interior point method
+Normal rank
@@ Property / cites work @@
+Scenario tree modeling for multistage stochastic programs
+Normal rank
@@ Property / cites work @@
+Problem-based optimal scenario generation and reduction in stochastic programming
+Normal rank
@@ Property / cites work @@
+A heuristic for moment-matching scenario generation
+Normal rank
@@ Property / cites work @@
+A Distributed Interior-Point KKT Solver for Multistage Stochastic Optimization
+Normal rank
@@ Property / cites work @@
+Algorithmic innovations and software for the dual decomposition method applied to stochastic mixed-integer programs
+Normal rank
@@ Property / cites work @@
+Quasi-Monte Carlo methods for linear two-stage stochastic programming problems
+Normal rank
@@ Property / cites work @@
+Formulating Two-Stage Stochastic Programs for Interior Point Methods
+Normal rank
@@ Property / cites work @@
+Bounds in multi-horizon stochastic programs
@@ Property / cites work: Bounds in multi-horizon stochastic programs / rank @@
+Normal rank
@@ Property / cites work @@
+Exploiting hardware capabilities in interior point methods
+Normal rank
@@ Property / cites work @@
+Block Sparse Cholesky Algorithms on Advanced Uniprocessor Computers
+Normal rank
@@ Property / cites work @@
+Multistage Stochastic Optimization
@@ Property / cites work: Multistage Stochastic Optimization / rank @@
+Normal rank
@@ Property / cites work @@
+Dynamic generation of scenario trees
@@ Property / cites work: Dynamic generation of scenario trees / rank @@
+Normal rank
@@ Property / cites work @@
+Scenarios and Policy Aggregation in Optimization Under Uncertainty
+Normal rank
@@ Property / cites work @@
+Q2752043
@@ Property / cites work: Q2752043 / rank @@
+Normal rank
@@ Property / cites work @@
+The theory and practice of revenue management
@@ Property / cites work: The theory and practice of revenue management / rank @@
+Normal rank
@@ Property / cites work @@
+Design and implementation of a modular interior-point solver for linear optimization
+Normal rank
@@ Property / cites work @@
+Q5691079
@@ Property / cites work: Q5691079 / rank @@
+Normal rank
@@ Property / DOI @@
+.1016/J.EJOR.2023.03.042
@@ Property / DOI: 10.1016/J.EJOR.2023.03.042 / rank @@
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:6113326