NDLI: A Primal-Dual Decomposition Algorithm for Multistage Stochastic Convex Programming

Content Provider	Springer Nature Link
Author	Berkelaar, Arjan Kouwenberg, Roy Gromicho, Joaquim A. S. Zhang, Shuzhong
Copyright Year	2005
Abstract	This paper presents a new and high performance solution method for multistage stochastic convex programming. Stochastic programming is a quantitative tool developed in the field of optimization to cope with the problem of decision-making under uncertainty. Among others, stochastic programming has found many applications in finance, such as asset-liability and bond-portfolio management. However, many stochastic programming applications still remain computationally intractable because of their overwhelming dimensionality. In this paper we propose a new decomposition algorithm for multistage stochastic programming with a convex objective and stochastic recourse matrices, based on the path-following interior point method combined with the homogeneous self-dual embedding technique. Our preliminary numerical experiments show that this approach is very promising in many ways for solving generic multistage stochastic programming, including its superiority in terms of numerical efficiency, as well as the flexibility in testing and analyzing the model.
Ending Page	177
Page Count	25
Starting Page	153
File Format	PDF
ISSN	00255610
e-ISSN	14364646
Journal	Mathematical Programming
Issue Number	1
Volume Number	104
Language	English
Publisher	Springer-Verlag
Publisher Date	2005-02-24
Publisher Place	Berlin, Heidelberg
Access Restriction	One Nation One Subscription (ONOS)
Subject Keyword	Numerical and Computational Methods Mathematical and Computational Physics Homogeneous self-dual embedding Interior point method Interior-point methods Convex programming Optimization Stochastic programming Large-scale problems Convex objective Mathematical Methods in Physics Mathematics of Computing Numerical Analysis Operations Research/Decision Theory Calculus of Variations and Optimal Control Multistage stochastic programming Combinatorics
Content Type	Text
Resource Type	Article
Subject	Mathematics Software

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