A Riccati-based primal interior point solver for multistage stochastic programming

European Journal of Operational Research

Volumn 143, Issue 2, 2002, Pages 452-461

  Blomvall, Jörgen ^a   Lindberg, Per Olov ^a  

^a LINKÖPING UNIVERSITY   (Sweden)

Author keywords

Dynamic programming; Finance; Interior point methods; Stochastic programming

Indexed keywords

COMPUTATIONAL METHODS; DYNAMIC PROGRAMMING; ITERATIVE METHODS; LINEAR CONTROL SYSTEMS; PROBLEM SOLVING; QUADRATIC PROGRAMMING; RICCATI EQUATIONS; TREES (MATHEMATICS);

INTERIOR POINT METHODS;

STOCHASTIC PROGRAMMING;

EID: 0036883837     PISSN: 03772217     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0377-2217(02)00301-6     Document Type: Conference Paper

References (11)

1. Stochastic programming computation and applications
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6. L-shaped linear programs with applications to control and stochastic programming
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