370 eng reportzib 0 1998-10-30 1998-10-30 -- 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. SC-98-27 371 urn:nbn:de:0297-zib-3706 Marc Steinbach SC-98-27 eng uncontrolled Multistage stochastic programs eng uncontrolled discrete dynamics eng uncontrolled tree-sparse QP eng uncontrolled KKT recursion eng uncontrolled successive refinement Informatik, Informationswissenschaft, allgemeine Werke Sparse matrices Large-scale problems Stochastic programming ZIB Allgemein OPTINVEST https://opus4.kobv.de/opus4-zib/files/370/SC-98-27.ps https://opus4.kobv.de/opus4-zib/files/370/SC-98-27.pdf