ISYE SEMINAR SERIES - GENERATING SPARSE FACTORIZATION CODE FOR DYNAMIC STOCHASTIC PROGRAMS

Event Details
  • Date/Time:
    • Thursday May 16, 2002
      11:00 am - 12:00 am
  • Location: ISyE 404
  • Phone:
  • URL:
  • Email:
  • Fee(s):
    N/A
  • Extras:
Contact
Barbara Christopher
Industrial and Systems Engineering
Contact Barbara Christopher
404.385.3102
Summaries

Summary Sentence: ISYE SEMINAR SERIES - GENERATING SPARSE FACTORIZATION CODE FOR DYNAMIC STOCHASTIC PROGRAMS

Full Summary: ISYE SEMINAR SERIES - GENERATING SPARSE FACTORIZATION CODE FOR DYNAMIC STOCHASTIC PROGRAMS

Dynamic stochastic programs in scenario tree formulation induce hierarchical sparse structures in the KKT systems of interior methods. Special factorization algorithms can exploit both the tree-dependent block sparsity and the model-specific sub-block sparsity. We propose an approach using automatically generated source code that implements sparse data structures and linear algebra operations for such factorizations. First experience with financial and other
applications will be presented.

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School of Industrial and Systems Engineering (ISYE)

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Seminar/Lecture/Colloquium
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Status
  • Created By: Barbara Christopher
  • Workflow Status: Published
  • Created On: Oct 8, 2010 - 7:43am
  • Last Updated: Oct 7, 2016 - 9:53pm