Parallel Factorization of Structured Matrices Arising in Stochastic Programming

DOI10.1137/0804048zbMath0813.65063OpenAlexW2012436468MaRDI QIDQ4321313

Dafeng Yang, E. R. Jessup, Stavros A. Zenios

Publication date: 7 June 1995

Published in: SIAM Journal on Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/0804048

zbMATH Keywords

computational experimentsparallel algorithmslarge scale optimizationstochastic programsconnection machine CM-5Intel \(i\)pSC/860large scale linear equationsparallel matrix factorization

Mathematics Subject Classification ID

Numerical mathematical programming methods (65K05) Large-scale problems in mathematical programming (90C06) Stochastic programming (90C15) Parallel numerical computation (65Y05) Direct numerical methods for linear systems and matrix inversion (65F05)

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Parallelizable preprocessing method for multistage stochastic programming problems ⋮ Strategic asset allocation ⋮ Interior point methods 25 years later ⋮ Financial planning via multi-stage stochastic optimization. ⋮ Optimization techniques for tree-structured nonlinear problems ⋮ Parallel interior-point solver for structured quadratic programs: Application to financial planning problems ⋮ Design and implementation of a modular interior-point solver for linear optimization ⋮ Dynamic models for fixed-income portfolio management under uncertainty ⋮ Strategic financial risk management and operations research ⋮ Limited recourse in two-stage stochastic linear programs ⋮ Computational assessment of distributed decomposition methods for stochastic linear programs ⋮ A primal-dual decomposition algorithm for multistage stochastic convex programming ⋮ Newton-type methods for stochastic programming.

Uses Software

• LAPACK
• BLAS

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