DagSemProc.05031.31.pdf
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Tree-Sparse Modeling and Solution of Multistage Stochastic Programs
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Dagstuhl Seminar Proceedings, Volume 5031
Series: Dagstuhl Seminar Proceedings (DagSemProc) - License:
Creative Commons Attribution 4.0 International license
- Publication Date: 2005-05-30
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Marc Steinbach. Tree-Sparse Modeling and Solution of Multistage Stochastic Programs. In Algorithms for Optimization with Incomplete Information. Dagstuhl Seminar Proceedings, Volume 5031, pp. 1-3, Schloss Dagstuhl – Leibniz-Zentrum für Informatik (2005)
https://doi.org/10.4230/DagSemProc.05031.31
Abstract
Multistage stochastic programs are prototypical for nonlinear programs with an inherent tree structure inducing characteristic sparsity patterns in the KKT systems of interior methods. We present an integrated modeling and solution approach for such tree-sparse programs. Three closely related natural formulations having desirable control-theoretic properties lead to KKT system solution algorithms with linear complexity. Application examples from computational finance and process engineering demonstrate the efficiency of the approach.
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Keywords
- Tree-sparse programs
- multistage stochastic optimization
- KKT systems
- hierarchical sparsity
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