90C15 Stochastic programming
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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.