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Tree-Sparse Modeling and Solution of Multistage Stochastic Programs

Authors: Marc Steinbach

Published in: Dagstuhl Seminar Proceedings, Volume 5031, Algorithms for Optimization with Incomplete Information (2005)

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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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)

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@InProceedings{steinbach:DagSemProc.05031.31,
  author =	{Steinbach, Marc},
  title =	{{Tree-Sparse Modeling and Solution of Multistage Stochastic Programs}},
  booktitle =	{Algorithms for Optimization with Incomplete Information},
  pages =	{1--3},
  series =	{Dagstuhl Seminar Proceedings (DagSemProc)},
  ISSN =	{1862-4405},
  year =	{2005},
  volume =	{5031},
  editor =	{Susanne Albers and Rolf H. M\"{o}hring and Georg Ch. Pflug and R\"{u}diger Schultz},
  publisher =	{Schloss Dagstuhl -- Leibniz-Zentrum f{\"u}r Informatik},
  address =	{Dagstuhl, Germany},
  URL =		{https://drops.dagstuhl.de/entities/document/10.4230/DagSemProc.05031.31},
  URN =		{urn:nbn:de:0030-drops-714},
  doi =		{10.4230/DagSemProc.05031.31},
  annote =	{Keywords: Tree-sparse programs, multistage stochastic optimization, KKT systems, hierarchical sparsity}
}

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Documents authored by Steinbach, Marc

Tree-Sparse Modeling and Solution of Multistage Stochastic Programs

Abstract

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