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Recursive Direct Optimization and Successive Refinement in Multistage Stochastic Programs

Please always quote using this URN: urn:nbn:de:0297-zib-3706
  • 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.

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Metadaten
Author:Marc Steinbach
Document Type:ZIB-Report
Tag:KKT recursion; Multistage stochastic programs; discrete dynamics; successive refinement; tree-sparse QP
MSC-Classification: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:1998/10/30
Series (Serial Number):ZIB-Report (SC-98-27)
ZIB-Reportnumber:SC-98-27
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