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Tree-sparse convex programs

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  • Marc C. Steinbach

Abstract

Dynamic stochastic programs are prototypical for optimization problems with an inherent tree structure inducing 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. Copyright Springer-Verlag Berlin Heidelberg 2003

Suggested Citation

  • Marc C. Steinbach, 2003. "Tree-sparse convex programs," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 56(3), pages 347-376, January.
    • Handle: RePEc:spr:mathme:v:56:y:2003:i:3:p:347-376
    DOI: 10.1007/s001860200227
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