90C15 Stochastic programming
Refine
Document Type
- ZIB-Report (2)
Language
- English (2)
Has Fulltext
- yes (2)
Is part of the Bibliography
- no (2)
Keywords
- Multistage Stochastic Programs (2) (remove)
Institute
- ZIB Allgemein (2)
Mathematical optimization techniques are on their way to becoming a standard tool in chemical process engineering. While such approaches are usually based on deterministic models, uncertainties such as external disturbances play a significant role in many real-life applications. The present article gives an introduction to practical issues of process operation and to basic mathematical concepts required for the explicit treatment of uncertainties by stochastic optimization.
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.