Recursive Direct Algorithms for Multistage Stochastic Programs in Financial Engineering

Please always quote using this URN: urn:nbn:de:0297-zib-3661
  • 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.

Download full text files

Export metadata

Additional Services

Share in Twitter Search Google Scholar
Metadaten
Author:Marc C. Steinbach
Document Type:ZIB-Report
Tag:KKT recursion; discrete dynamics; finance; multistage stochastic programs; tree-sparse QP
MSC-Classification:65-XX NUMERICAL ANALYSIS / 65Fxx Numerical linear algebra / 65F05 Direct methods for linear systems and matrix inversion
65-XX NUMERICAL ANALYSIS / 65Fxx Numerical linear algebra / 65F50 Sparse matrices
90-XX OPERATIONS RESEARCH, MATHEMATICAL PROGRAMMING / 90Cxx Mathematical programming [See also 49Mxx, 65Kxx] / 90C06 Large-scale problems
90-XX OPERATIONS RESEARCH, MATHEMATICAL PROGRAMMING / 90Cxx Mathematical programming [See also 49Mxx, 65Kxx] / 90C15 Stochastic programming
Date of first Publication:1998/09/04
Series (Serial Number):ZIB-Report (SC-98-23)
Published in:Appeared in: P. Kall, H.J. Lüthi (eds.). Operations Research 1998. Sel. Papers of the International Conference on Operations Research, Zürich, 1998, pp. 241-250, Springer, 1999