Computational Assessment of Nested Benders and Augmented Lagrangian Decomposition for Mean-Variance Multistage Stochastic Problems

Computational Assessment of Nested Benders and Augmented Lagrangian Decomposition for Mean-Variance Multistage Stochastic Problems

0.00 Avg rating0 Votes
Article ID: iaor200916827
Country: United States
Volume: 19
Issue: 2
Start Page Number: 239
End Page Number: 247
Publication Date: Apr 2007
Journal: INFORMS Journal On Computing
Authors: ,
Keywords: financial
Abstract:

We consider decomposition approaches for the solution of multistage stochastic programs that appear in financial applications. In particular, we discuss the performance of two algorithms that we test on the mean–variance portfolio optimization problem. The first algorithm is based on a regularized version of Benders decomposition, and we discuss its extension to the quadratic case. The second algorithm is an augmented Lagrangian method. Our results indicate that the algorithm based on regularized Benders decomposition is more efficient, which is in line with similar studies performed in the linear setting.

Reviews

Required fields are marked *. Your email address will not be published.