Parallel Factorization of Structured Matrices Arising in Stochastic Programming

DOI10.1137/0804048MaRDI QIDQ4321313zbMATH OpenOpenAlexFDO

Authors Elizabeth Jessup, Dafeng Yang, Stavros A. Zenios

Publication date 7 June 1995

Published in SIAM Journal on Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/0804048

zbMATH Keywords

large scale optimizationcomputational experimentsparallel algorithmsstochastic programsconnection machine CM-5Intel \(i\)pSC/860large scale linear equationsparallel matrix factorization

Mathematics Subject Classification ID

Numerical mathematical programming methods (65K05) Direct numerical methods for linear systems and matrix inversion (65F05) Parallel numerical computation (65Y05) Large-scale problems in mathematical programming (90C06) Stochastic programming (90C15)

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Cited in

(16)

• Newton-type methods for stochastic programming.
• Interior point methods 25 years later
• Optimization techniques for tree-structured nonlinear problems
• Parallel interior-point solver for structured quadratic programs: Application to financial planning problems
• Dynamic models for fixed-income portfolio management under uncertainty
• Limited recourse in two-stage stochastic linear programs
• Strategic asset allocation
• The parallel solution of dense saddle-point linear systems arising in stochastic programming
• Computational assessment of distributed decomposition methods for stochastic linear programs
• Financial planning via multi-stage stochastic optimization.
• Parallelizable preprocessing method for multistage stochastic programming problems
• Strategic financial risk management and operations research
• Parallel interior-point solver for block-structured nonlinear programs on SIMD/GPU architectures
• A note on the recursive and parallel structure of the Birge and Qi factorization for tree structured linear programs
• A primal-dual decomposition algorithm for multistage stochastic convex programming
• Design and implementation of a modular interior-point solver for linear optimization

Describes a project that uses

Uses Software

• BLAS
• LAPACK

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