Test problems in stochastic multistage programming

DOI10.1080/02331930008844481MaRDI QIDQ4484946zbMATH OpenOpenAlexFDO

Authors Karl Frauendorfer, Gido Haarbrücker

Publication date 5 June 2000

Published in Optimization (Search for Journal in Brave)

Full work available at URL https://www.alexandria.unisg.ch/7089/1/Frauendorfer_Haarbr%C3%BCcker_TestProblemsInStochasticMultistageProgramming.pdf, http://www.alexandria.unisg.ch/7089/1/Frauendorfer_Haarbr%C3%BCcker_TestProblemsInStochasticMultistageProgramming.pdf

zbMATH Keywords

barycentric approximationfixed-income securities managementinterest rate modelsmultistage stochastic linear programs

Mathematics Subject Classification ID

Numerical mathematical programming methods (65K05) Stochastic programming (90C15)

Review text

This study is devoted to numerical analysis of the performance of approximate multistage stochastic linear programs related with a problem of refinancing loans by borrowing bonds of different maturities. Various types of continuous time interest rate models are considered and their parameters presented. Computational results are based on the barycentric approximation method and carried out for different time horizons, which correspond to different numbers of equally spaced stages, and for partitioning in the root node and along the scenario tree. Several measures of the achieved quality of approximation are used and the numerical results are complemented by empirical observations concerning sensitivity to parameters of the chosen interest rate process and to the applied partitioning strategy.

Recommendations

• Refinement issues in stochastic multistage linear programming
• Solving sequences of refined multistage stochastic linear programs
• Term structure models in multistage stochastic programming: Estimation and approximation
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• scientific article; zbMATH DE number 958363

Cites work

• L-Shaped Linear Programs with Applications to Optimal Control and Stochastic Programming
• An equilibrium characterization of the term structure
• Decomposition and Partitioning Methods for Multistage Stochastic Linear Programs
• MSLiP: A computer code for the multistage stochastic linear programming problem
• Parallel decomposition of multistage stochastic programming problems
• Partitioning procedures for solving mixed-variables programming problems

Cited in

(7)

• Solving sequences of refined multistage stochastic linear programs
• Testing the structure of multistage stochastic programs
• A family of stochastic programming test problems based on a model for tactical manpower planning
• The stochastic test collection problem: models, exact and heuristic solution approaches
• Refinement issues in stochastic multistage linear programming
• scientific article; zbMATH DE number 1304949 (Why is no real title available?)
• scientific article; zbMATH DE number 5494133 (Why is no real title available?)

Describes a project that uses

Uses Software

• MSLiP
• EVPI

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