scientific article; zbMATH DE number 1487892

zbMATH Open0959.91031MaRDI QIDQ4494422FDOQ4494422

Authors: Marc C. Steinbach 

Publication date: 2 May 2001

Title of this publication is not available (Why is that?)

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zbMATH Keywords

interior point methodmultistage stochastic programsmultistage portfolio selection

Mathematics Subject Classification ID

Dynamic programming (90C39) Stochastic models in economics (91B70)

Cited In (7)

• Title not available (Why is that?)
• Title not available (Why is that?)
• A Riccati-based primal interior point solver for multistage stochastic programming
• Bilevel decision via variational inequalities
• Discrete Algorithms for Multivariate Financial Calculus
• Hierarchical sparsity in multistage stochastic programs
• Recursive Algorithms for Stock Liquidation: A Stochastic Optimization Approach

Uses Software

• MSLiP

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