Andreas Grothey (University of Edinburgh)

Solving huge portfolio management problems with an object-oriented interior point implementation
Wednesday 25 February 2004 at 15.30, JCMB 5327

Abstract

Very large Asset and Liability Management (ALM) problems with millions of scenarios and decision variables are usually beyond the scope of general purpose QP and NLP solvers. On the other hand many specialised approaches have limitations on the type of models they can be applied to.

In this talk I will present a structure-exploiting parallel interior-point solver for quadratic and nonlinear programming problems. The solver allows the efficient exploitation of nested block structured constraint and Hessian matrices, such as appear in multistage stochastic programming models. Through its generic object-oriented design its applicability is not limited to stochastic programming: indeed it can be applied to virtually any problem displaying a nested block structure.

Numerical results are given for various QP and NLP reformulations of ALM problems with up to 50 million decision variables. Comparisons with CPLEX are given.

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