DC Field | Value | Language |
---|---|---|
dc.contributor.advisor | Kim, Woo Chang | - |
dc.contributor.advisor | 김우창 | - |
dc.contributor.author | Lee, Jinkyu | - |
dc.date.accessioned | 2023-06-22T19:32:53Z | - |
dc.date.available | 2023-06-22T19:32:53Z | - |
dc.date.issued | 2022 | - |
dc.identifier.uri | http://library.kaist.ac.kr/search/detail/view.do?bibCtrlNo=996487&flag=dissertation | en_US |
dc.identifier.uri | http://hdl.handle.net/10203/308388 | - |
dc.description | 학위논문(박사) - 한국과학기술원 : 산업및시스템공학과, 2022.2,[iv, 90 p. :] | - |
dc.description.abstract | In this dissertation, we study decomposition and approximation techniques to solve a large-scale financial planning problem in multistage stochastic program.First, we propose an extended framework of the state-of-the-art stagewise decomposition algorithm called stochastic dual dynamic programming (SDDP) tailored for large-scale financial planning problems. Our proposed framework addresses the limitations of conventional SDDP in a perspective of finance, making it a viable tool for solving large-scale financial planning problems.Second, we apply the proposed SDDP framework to the asset liability management (ALM) problem of National Pension Service (NPS) of Korea. Furthermore, a sensitivity analysis under various contribution related parameters is conducted to provide insightful information for the sustainability of Korean public pension fund.Last, we introduce a novel stagewise decomposition algorithm called value function gradient learning (VFGL). Throughout three numerical examples, we verify that the VFGL has a great numerical potential compared to the conventional stagewise decomposition algorithms.The findings in this study will provide better understanding and techniques to solve large-scale financial planning problem, and further to the general large-scale multistage stochastic programs. | - |
dc.language | eng | - |
dc.publisher | 한국과학기술원 | - |
dc.title | Decomposition and approximation techniques for large-scale multistage stochastic programs: with applications in finance | - |
dc.title.alternative | 분해 및 근사 기법을 통한 대규모 다단 추계적 계획 문제의 해법: 재정 계획문제에 대한 적용 | - |
dc.type | Thesis(Ph.D) | - |
dc.identifier.CNRN | 325007 | - |
dc.description.department | 한국과학기술원 :산업및시스템공학과, | - |
dc.contributor.alternativeauthor | 이진규 | - |
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