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

DOI10.1080/1055678021000033946zbMath1029.90044OpenAlexW1968926137WikidataQ57710163 ScholiaQ57710163MaRDI QIDQ4709730

Jörgen Blomvall, Per Olov Lindberg

Publication date: 4 February 2004

Published in: Optimization Methods and Software (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/1055678021000033946

zbMATH Keywords

stochastic programmingLagrangian relaxationparallel computationinterior point methods

Mathematics Subject Classification ID

Stochastic programming (90C15) Interior-point methods (90C51) Dynamic programming (90C39)

Related Items

Parallel interior-point solver for structured quadratic programs: Application to financial planning problems, Solving multistage asset investment problems by the sample average approximation method, Accelerating techniques on nested decomposition

Cites Work

• Unnamed Item
• Mean-absolute deviation portfolio optimization for mortgage-backed securities
• Efficient solution of two-stage stochastic linear programs using interior point methods
• Linear Programming under Uncertainty
• Scenarios and Policy Aggregation in Optimization Under Uncertainty
• High-Performance Computing for Asset-Liability Management
• Decomposition and Partitioning Methods for Multistage Stochastic Linear Programs
• Introduction to Stochastic Programming
• A New Scenario Decomposition Method for Large-Scale Stochastic Optimization
• L-Shaped Linear Programs with Applications to Optimal Control and Stochastic Programming