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Tree-Sparse Modeling and Solution of Multistage Stochastic Programs Steinbach, Marc Tree-sparse programs multistage stochastic optimization KKT systems hierarchical sparsity 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. Schloss Dagstuhl – Leibniz-Zentrum für Informatik Marc Steinbach 2005 Is Part Of Dagstuhl Seminar Proceedings, Volume 5031, Algorithms for Optimization with Incomplete Information (2005) InProceedings Text doc-type:ResearchArticle publishedVersion application/pdf doi:10.4230/DagSemProc.05031.31 urn:nbn:de:0030-drops-714 https://drops.dagstuhl.de/entities/document/10.4230/DagSemProc.05031.31 eng https://creativecommons.org/licenses/by/4.0/legalcode