Automatic Formulation of Stochastic Programs Via an Algebraic Modeling Language |
| |
| Authors: | J. Thénié Ch. van Delft J. -Ph. Vial |
| |
| Affiliation: | (1) HEC/Logilab/Department of Management Studies, University of Geneva, 40 Bd du pont d’Arve, 1211 Geneva 4, Switzerland;(2) HEC School of Management, Paris (GREGHEC), 78 351 Jouy-en-Josas Cedex, France |
| |
| Abstract: | This paper presents an open source tool that automatically generates the so-called deterministic equivalent in stochastic programming. The tool is based on the algebraic modeling language ampl. The user is only required to provide the deterministic version of the stochastic problem and the information on the stochastic process, either as scenarios or as a transitions-based event tree. |
| |
| Keywords: | Stochastic programming Algebraic modeling language Deterministic equivalent |
| 本文献已被 SpringerLink 等数据库收录！ |
