University of St.Gallen
research platform alexandria
search publications
browse publications
by person
A B C D E F G H I J K L M N O P Q R S T U V W X Y Z
 
by year

SG-Portfolio Test Problems for Stochastic Multistage Linear Programming

Karl Frauendorfer, Frank Härtel, Michael F. Reiff & Michael Schürle

fulltext etc. no fulltext attached
The solvability of dynamic decision problems suffers from the curse of dimensionality, which limits the planning horizon one can afford for mapping the real problem into a numerically solvable dynamic optimization model. In this note, stochastic multistage programming is applied to dynamic fixed-income portfolio selection. We report how well some fixed income portfolio problems are currently solved with barycentric approximation. In particular, we illustrate how the planning horizon affects the numerical effort required to solve the programs. The computational results serve as a benchmark for decomposition methods of mathematical programming.
   
type conference paper (English)
   
keywords Multistage Stochastic Programming, Barycentric Approximation
   
name of conference Symposium on Operations Research (SOR'95) (Passau, DE)
date of conference 13-9-1995
title of proceedings Operations Research Proceedings 1995
page(s) 102-107
publisher Springer-Verlag (Berlin, DE)
ISBN 3-540-60806-0
review not reviewed
   
citation Frauendorfer, K., Härtel, F., Reiff, M. F., & Schürle, M. (1995). SG-Portfolio Test Problems for Stochastic Multistage Linear Programming. In Operations Research Proceedings 1995, pp.102-107. Berlin, DE: Springer-Verlag. - ISBN 3-540-60806-0.