Hierarchical sparsity in multistage stochastic programs

MaRDI QIDQ2752043zbMATH OpenFDO

Authors Marc C. Steinbach

Publication date 14 May 2002

zbMATH Keywords

hierarchical KKT sparsityinterior point methodsmultistage convex stochastic programs

Mathematics Subject Classification ID

Stochastic programming (90C15) Convex programming (90C25) Interior-point methods (90C51)

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(11)

• A Riccati-based primal interior point solver for multistage stochastic programming
• Solving multistage asset investment problems by the sample average approximation method
• A splitting method for stochastic programs
• Clustering-based preconditioning for stochastic programs
• A Structure Conveying Parallelizable Modeling Language for Mathematical Programming
• scientific article; zbMATH DE number 1487892 (Why is no real title available?)
• A Distributed Interior-Point KKT Solver for Multistage Stochastic Optimization
• On solving large-scale multistage stochastic optimization problems with a new specialized interior-point approach
• Parallel interior-point solver for block-structured nonlinear programs on SIMD/GPU architectures
• A massively parallel interior-point method for arrowhead linear programs with local linking structure
• On PDE solution in transient optimization of gas networks

Describes a project that uses

Uses Software

• MSLiP

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