@misc{Steinbach, author = {Steinbach, Marc}, title = {Hierarchical Sparsity in Multistage Convex Stochastic Programs}, url = {http://nbn-resolving.de/urn:nbn:de:0297-zib-5837}, number = {00-15}, abstract = {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.}, language = {en} }