Stavros A. Zenios

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Single Premium Deferred Annuities (SPDAs) are investment vehicles, o ered 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 di erent annuities creates substantial uncertainties for(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)
We discuss a parallel dual relaxation algorithm for network optimization. Synchronous and asynchronous implementations of the algorithm are developed on a shared memory multiprocessor, the Alliant FX/8_ Alternative designs for parallel computing that tradeoff synchronization delays with computations are proposed. Their performance is analyzed empirically(More)
We describe a specialization of the primal truncated Newton algorithm for solving nonlinear optimization problems on networks with gains. The algorithm and its implementation are able to capitalize on the special structure of the constraints. Extensive computational tests show that the algorithm is capable of solving very large problems. Testing of numerous(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)