TY - GEN A1 - Steinbach, Marc T1 - Hierarchical Sparsity in Multistage Convex Stochastic Programs N2 - Interior point methods for multistage stochastic programs involve KKT systems with a characteristic global block structure induced by dynamic equations on the scenario tree. We generalize the recursive solution algorithm proposed in an earlier paper so that its linear complexity extends to a refined tree-sparse KKT structure. Then we analyze how the block operations can be specialized to take advantage of problem-specific sparse substructures. Savings of memory and operations for a financial engineering application are discussed in detail. T3 - ZIB-Report - 00-15 KW - Multistage Stochastic Programs KW - Hierarchical KKT Sparsity Y1 - 2000 UR - https://opus4.kobv.de/opus4-zib/frontdoor/index/index/docId/583 UR - https://nbn-resolving.org/urn:nbn:de:0297-zib-5837 ER -