Recursive Direct Algorithms for Multistage Stochastic Programs in Financial Engineering
Please always quote using this URN: urn:nbn:de:0297-zib-3661
- Multistage stochastic programs can be seen as discrete optimal control problems with a characteristic dynamic structure induced by the scenario tree. To exploit that structure, we propose a highly efficient dynamic programming recursion for the computationally intensive task of KKT systems solution within an interior point method. Test runs on a multistage portfolio selection problem demonstrate the performance of the algorithm.
Author: | Marc Steinbach |
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Document Type: | ZIB-Report |
Tag: | KKT recursion; discrete dynamics; finance; multistage stochastic programs; tree-sparse QP |
MSC-Classification: | 65-XX NUMERICAL ANALYSIS / 65Fxx Numerical linear algebra / 65F05 Direct methods for linear systems and matrix inversion |
65-XX NUMERICAL ANALYSIS / 65Fxx Numerical linear algebra / 65F50 Sparse matrices | |
90-XX OPERATIONS RESEARCH, MATHEMATICAL PROGRAMMING / 90Cxx Mathematical programming [See also 49Mxx, 65Kxx] / 90C06 Large-scale problems | |
90-XX OPERATIONS RESEARCH, MATHEMATICAL PROGRAMMING / 90Cxx Mathematical programming [See also 49Mxx, 65Kxx] / 90C15 Stochastic programming | |
Date of first Publication: | 1998/09/04 |
Series (Serial Number): | ZIB-Report (SC-98-23) |
ZIB-Reportnumber: | SC-98-23 |
Published in: | Appeared in: P. Kall, H.J. Lüthi (eds.). Operations Research 1998. Sel. Papers of the International Conference on Operations Research, Zürich, 1998, pp. 241-250, Springer, 1999 |