Michael A.H. Dempster (Management Studies, University of Cambridge)

Sequential importance sampling for dynamic stochastic models
Friday 23 January 1998 at 14.00, Management School, Lecture Theatre 2

Abstract

This talk describes a master/slave parallel implementation of the nested Benders solution algorithm for the large scale certainty equivalent LP of a dynamic stochastic linear programme. In the context of strategic financial asset/liability management, results are presented for current multicomputer machines including workstation networks under PVM and the IBM SP2 and Fujitsu AP3000 and VX/4 under MPI. These include wall clock time and speedup performance for both nodal and time period aggregated problems up to 3000 scenarios, as well as parallel performance on tasks associated with sequential sampling algorithms under development for financial planning problems.

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