@misc{Steinbach1998, author = {Steinbach, Marc}, title = {Recursive Direct Algorithms for Multistage Stochastic Programs in Financial Engineering}, url = {http://nbn-resolving.de/urn:nbn:de:0297-zib-3661}, number = {SC-98-23}, year = {1998}, abstract = {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.}, language = {en} } @misc{Steinbach1998, author = {Steinbach, Marc}, title = {Recursive Direct Optimization and Successive Refinement in Multistage Stochastic Programs}, url = {http://nbn-resolving.de/urn:nbn:de:0297-zib-3706}, number = {SC-98-27}, year = {1998}, abstract = {The paper presents a new algorithmic approach for multistage stochastic programs which are 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 a primal-dual interior point method. Convergence is drastically enhanced by a successive refinement technique providing both primal and dual initial estimates. Test runs on a multistage portfolio selection problem demonstrate the performance of the method.}, language = {en} }