Hans Moritsch, Georg Ch. Pflug, Engelbert Dockner  Home/Search
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Abstract: For the optimization module of the Aurora Financial Management System a test problem generation tool has been developed. Two classes of tree structured optimization problems have been de ned for terminal wealth maximization and index tracking in the form of linear programs assigned to the nodes of a scenario tree. The optimization problems are automatically generated and are employed for the numerical validation of parallel implementations of the nested Benders decomposition algorithm. (Update)
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BibTeX entry: (Update)
@misc{ moritsch-test,
author = "Hans Moritsch and Georg Ch. Pflug and Engelbert Dockner",
title = "Test Problem Generation for Multiperiod Optimization in the AURORA Financial
Managment System",
url = "citeseer.ist.psu.edu/moritsch01test.html" }
Citations (may not include all citations):84 Partitioning procedures for solving mixed-variable programmi.. (context) - Benders - 1962
10 Scalable Parallel Benders Decomposition for Stochastic Linea.. - Nielsen, Zenios - 1997
9 Decomposition methods in stochastic programming (context) - Ruszczynski - 1997
6 Integrated simulation and optimization models for tracking .. (context) - Worzel, Vassiadou-Zeniou et al. - 1994
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