Søren S. Nielsen

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We develop an algorithm for solving nonlinear two-stage stochastic problems with network recourse. The algorithm is based on the framework of row-action methods. The problem is formulated by replicating the first-stage variables and then adding non-anticipativity side constraints. A series of (independent) deterministic network problems are solved at each(More)
We develop a scalable parallel implementation of the classical Benders decomposition algorithm for two-stage stochastic linear programs. Using a primal-dual, path-following algorithm for solving the scenario subproblems we develop a parallel implementation that alleviates the diiculties of load balancing. Furthermore, the dual and primal step calculations(More)
Single Premium Deferred Annuities (SPDAs) are investment vehicles, ooered to investors by insurance companies as a means of providing income past their retirement age. They are mirror images of insurance policies. However, the propensity of individuals to shift part, or all, of their investment into diierent annuities creates substantial uncertainties for(More)
Multi-stage stochastic programs are typically extremely large, and can be prohibitively expensive to solve on the computer. In this paper we develop an algorithm for multistage programs that integrates the primal-dual row-action framework with prox-imal minimization. The algorithm exploits the structure of stochastic programs with network recourse, using a(More)
Glutaminase C is a key metabolic enzyme, which is unregulated in many cancer systems and believed to play a central role in the Warburg effect, whereby cancer cells undergo changes to an altered metabolic profile. A long-standing hypothesis links enzymatic activity to the protein oligomeric state, hence the study of the solution behavior in general and the(More)