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    <id>583</id>
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    <language>eng</language>
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    <completedDate>2000-05-03</completedDate>
    <publishedDate>2000-05-03</publishedDate>
    <thesisDateAccepted>--</thesisDateAccepted>
    <title language="eng">Hierarchical Sparsity in Multistage Convex Stochastic Programs</title>
    <abstract language="eng">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.</abstract>
    <identifier type="serial">00-15</identifier>
    <identifier type="opus3-id">584</identifier>
    <identifier type="urn">urn:nbn:de:0297-zib-5837</identifier>
    <enrichment key="SourceTitle">Appeared in: Stochastic Optimization. Algorithms and Applications, S. P. Uryasev, P. M. Pardalos, Applied Optimization, Vol. 54, Kluwer Academic Publishers, 2001, pp. 385-410</enrichment>
    <author>Marc Steinbach</author>
    <series>
      <title>ZIB-Report</title>
      <number>00-15</number>
    </series>
    <subject>
      <language>eng</language>
      <type>uncontrolled</type>
      <value>Multistage Stochastic Programs</value>
    </subject>
    <subject>
      <language>eng</language>
      <type>uncontrolled</type>
      <value>Hierarchical KKT Sparsity</value>
    </subject>
    <collection role="ddc" number="000">Informatik, Informationswissenschaft, allgemeine Werke</collection>
    <collection role="msc" number="90C15">Stochastic programming</collection>
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