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ISYE SEMINAR SERIES - GENERATING SPARSE FACTORIZATION CODE FOR DYNAMIC STOCHASTIC PROGRAMS
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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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- Workflow Status: Published
- Created By: Barbara Christopher
- Created: 10/08/2010
- Modified By: Fletcher Moore
- Modified: 10/07/2016
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