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

DOI10.1080/1055678021000033946zbMath1029.90044WikidataQ57710163 ScholiaQ57710163MaRDI QIDQ4709730

Per Olov Lindberg, Jörgen Blomvall

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 programming; Lagrangian relaxation; parallel computation; interior point methods

Mathematics Subject Classification ID

90C15: Stochastic programming

90C51: Interior-point methods

90C39: Dynamic programming

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

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