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

DOI10.1016/S0377-2217(02)00301-6zbMath1058.90074OpenAlexW2039677845WikidataQ57710160 ScholiaQ57710160MaRDI QIDQ1848394

Jörgen Blomvall, Per Olov Lindberg

Publication date: 20 November 2002

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0377-2217(02)00301-6

zbMATH Keywords

Dynamic programmingInterior point methodsFinanceStochastic programming

Mathematics Subject Classification ID

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

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• High-Performance Computing for Asset-Liability Management
• State-of-the-Art-Survey—Stochastic Programming: Computation and Applications
• L-Shaped Linear Programs with Applications to Optimal Control and Stochastic Programming

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