Приведены явные формулы для моментов переключения кусочно-постоянного управления в задаче быстродействия для линейной системы второго порядка с постоянными...

We propose a decomposition method for the solution of a dynamic portfolio optimization problem which fits the formulation of a multistage stochastic programming problem. The method allows to obtain time and nodal decomposition of the problem in its arborescent formulation applying a discrete...

Dynamic stochastic programs are prototypical for optimization problems with an inherent tree structure inducing characteristic sparsity patterns in the KKT systems of interior methods. We propose an integrated modeling and solution approach for such tree-sparse programs. Three closely related...