(SPEPS)
Springer (Berlin [u.a.])
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| edoc-Server der Humboldt-Universität zu Berlin |
| Author(s): | Marc Steinbach, Konrad-Zuse-Zentrum für Informationstechnik Berlin (ZIB) | Title: | Tree-sparse convex programs |
| Date of Acceptance: | 23.09.2001 |
| Submission Date: | 09.05.2001 |
| Series Title: |
Stochastic Programming E-Print Series (SPEPS) |
| Editors: | Julie L. Higle; Werner Römisch; Surrajeet Sen |
| Keywords (eng): | Convex program, tree, discrete-time optimal control, dynamic stochastic program, recursive factorization, local projection |
| Appeared in: |
Mathematical methods of operations research 3 (Vol. 56, 2003)
Springer (Berlin [u.a.]) |
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Endnote Bibtex |
| Abstract (eng): | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| Dynamic stochastic programs are prototypical for optimization problems with an inherent tree structure including characteristic sparsity patterns in the KKT systems of interior methods. We propose an integrated modeling and solution approach for such tree-sparse programs. Three closely related natural formulations are theoretically analyzed from a control-theoretic perspective and compared to each other. Associated KKT system solution algorithms with linear complexity are developed and comparisons to other interior approaches and related problem formulations are discussed. | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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