scientific article; zbMATH DE number 1487892

MaRDI QIDQ4494422zbMATH OpenFDO

Authors Marc C. Steinbach

Publication date 2 May 2001

zbMATH Keywords

interior point methodmultistage stochastic programsmultistage portfolio selection

Mathematics Subject Classification ID

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

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Cited in

(7)

• scientific article; zbMATH DE number 764441 (Why is no real title available?)
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• 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

Describes a project that uses

Uses Software

• MSLiP

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