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SPEPS Preprint

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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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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