TY - GEN A1 - Steinbach, Marc T1 - Recursive Direct Algorithms for Multistage Stochastic Programs in Financial Engineering N2 - 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. T3 - ZIB-Report - SC-98-23 KW - multistage stochastic programs KW - discrete dynamics KW - tree-sparse QP KW - KKT recursion KW - finance Y1 - 1998 U6 - http://nbn-resolving.de/urn/resolver.pl?urn:nbn:de:0297-zib-3661 ER - TY - GEN A1 - Steinbach, Marc T1 - Recursive Direct Optimization and Successive Refinement in Multistage Stochastic Programs N2 - 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. T3 - ZIB-Report - SC-98-27 KW - Multistage stochastic programs KW - discrete dynamics KW - tree-sparse QP KW - KKT recursion KW - successive refinement Y1 - 1998 U6 - http://nbn-resolving.de/urn/resolver.pl?urn:nbn:de:0297-zib-3706 ER -