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A Riccati-based primal interior point solver for multistage stochastic programming

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  • Blomvall, Jorgen
  • Lindberg, Per Olov

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  • Blomvall, Jorgen & Lindberg, Per Olov, 2002. "A Riccati-based primal interior point solver for multistage stochastic programming," European Journal of Operational Research, Elsevier, vol. 143(2), pages 452-461, December.
    • Handle: RePEc:eee:ejores:v:143:y:2002:i:2:p:452-461
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    1. Jacek Gondzio & Roy Kouwenberg, 2001. "High-Performance Computing for Asset-Liability Management," Operations Research, INFORMS, vol. 49(6), pages 879-891, December.
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    Cited by:

    1. Jacek Gondzio & Andreas Grothey, 2007. "Parallel interior-point solver for structured quadratic programs: Application to financial planning problems," Annals of Operations Research, Springer, vol. 152(1), pages 319-339, July.
    2. Unai Aldasoro & Laureano Escudero & María Merino & Juan Monge & Gloria Pérez, 2015. "On parallelization of a stochastic dynamic programming algorithm for solving large-scale mixed 0–1 problems under uncertainty," TOP: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 23(3), pages 703-742, October.
    3. Alois Geyer & Michael Hanke & Alex Weissensteiner, 2009. "A stochastic programming approach for multi-period portfolio optimization," Computational Management Science, Springer, vol. 6(2), pages 187-208, May.
    4. Miguel, Angel Víctor de, 2004. "On the relationship between bilevel decomposition algorithms and direct interior-point methods," DES - Working Papers. Statistics and Econometrics. WS ws042509, Universidad Carlos III de Madrid. Departamento de Estadística.
    5. Panos Parpas & Berç Rustem, 2007. "Computational Assessment of Nested Benders and Augmented Lagrangian Decomposition for Mean-Variance Multistage Stochastic Problems," INFORMS Journal on Computing, INFORMS, vol. 19(2), pages 239-247, May.
    6. Gondzio, Jacek & Grothey, Andreas, 2007. "Solving non-linear portfolio optimization problems with the primal-dual interior point method," European Journal of Operational Research, Elsevier, vol. 181(3), pages 1019-1029, September.
    7. Ankur Kulkarni & Uday Shanbhag, 2012. "Recourse-based stochastic nonlinear programming: properties and Benders-SQP algorithms," Computational Optimization and Applications, Springer, vol. 51(1), pages 77-123, January.
    8. Jacek Gondzio & Andreas Grothey, 2009. "Exploiting structure in parallel implementation of interior point methods for optimization," Computational Management Science, Springer, vol. 6(2), pages 135-160, May.
    9. Jens Hübner & Martin Schmidt & Marc C. Steinbach, 2017. "A Distributed Interior-Point KKT Solver for Multistage Stochastic Optimization," INFORMS Journal on Computing, INFORMS, vol. 29(4), pages 612-630, November.
    10. Castro, Jordi & Escudero, Laureano F. & Monge, Juan F., 2023. "On solving large-scale multistage stochastic optimization problems with a new specialized interior-point approach," European Journal of Operational Research, Elsevier, vol. 310(1), pages 268-285.
    11. Blomvall, Jörgen & Hagenbjörk, Johan, 2022. "Reducing transaction costs for interest rate risk hedging with stochastic programming," European Journal of Operational Research, Elsevier, vol. 302(3), pages 1282-1293.
    12. Marco Colombo & Andreas Grothey, 2013. "A decomposition-based crash-start for stochastic programming," Computational Optimization and Applications, Springer, vol. 55(2), pages 311-340, June.
    13. Simone Farinelli & Luisa Tibiletti, 2015. "Hydroassets Portfolio Management for Intraday Electricity Trading from a Discrete Time Stochastic Optimization Perspective," Papers 1508.05837, arXiv.org, revised Aug 2017.
    14. Jie Sun & Xinwei Liu, 2006. "Scenario Formulation of Stochastic Linear Programs and the Homogeneous Self-Dual Interior-Point Method," INFORMS Journal on Computing, INFORMS, vol. 18(4), pages 444-454, November.
    15. Teemu Pennanen & Markku Kallio, 2006. "A splitting method for stochastic programs," Annals of Operations Research, Springer, vol. 142(1), pages 259-268, February.
    16. Jens Hübner & Martin Schmidt & Marc C. Steinbach, 2020. "Optimization techniques for tree-structured nonlinear problems," Computational Management Science, Springer, vol. 17(3), pages 409-436, October.

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