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Recursive Direct Algorithms for Multistage Stochastic Programs in Financial Engineering

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Operations Research Proceedings 1998

Part of the book series: Operations Research Proceedings 1998 ((ORP,volume 1998))

Summary

Multistage stochastic programs can be seen as discrete optimal control problems with a characteristic dynamic structure induced by the scenario tree. To exploit that structure, we propose a highly efficient dynamic programming recursion for the computationally intensive task of KKT systems solution within an interior point method. Test runs on a multistage portfolio selection problem demonstrate the performance of the algorithm.

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Author information

Authors and Affiliations

  1. ZIB, Berlin, Germany

    Marc C. Steinbach

Authors
  1. Marc C. Steinbach
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Editor information

Editors and Affiliations

  1. Institute for Operations Research, University of Zurich, Moussonstr. 15, CH-8044, Zurich, Switzerland

    Peter Kall

  2. Institute for Operations Research, ETH Zentrum, CLP, Clausiusstr. 47, CH-8092, Zurich, Switzerland

    Hans-Jakob Lüthi

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© 1999 Springer-Verlag Berlin Heidelberg

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Steinbach, M.C. (1999). Recursive Direct Algorithms for Multistage Stochastic Programs in Financial Engineering. In: Kall, P., Lüthi, HJ. (eds) Operations Research Proceedings 1998. Operations Research Proceedings 1998, vol 1998. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-58409-1_24

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  • DOI: https://doi.org/10.1007/978-3-642-58409-1_24

  • Publisher Name: Springer, Berlin, Heidelberg

  • Print ISBN: 978-3-540-65381-3

  • Online ISBN: 978-3-642-58409-1

  • eBook Packages: Springer Book Archive

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