Extending algebraic modelling languages for stochastic programming

DOI10.1287/IJOC.1080.0282MaRDI QIDQ2901052zbMATH OpenOpenAlexFDO

Authors Christian Valente, Gautam Mitra, Mustapha Sadki, Robert Fourer

Publication date 28 July 2012

Published in INFORMS Journal on Computing (Search for Journal in Brave)

Full work available at URL http://bura.brunel.ac.uk/handle/2438/767

zbMATH Keywords

algebraic modellingdecomposition methodsmultistage recourse problemscenario treestochastic programmingtwo-stage recourse problem

Mathematics Subject Classification ID

Computational methods for problems pertaining to operations research and mathematical programming (90-08) Stochastic programming (90C15)

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(18)

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• A computational study of a solver system for processing two-stage stochastic LPs with enhanced Benders decomposition
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• It Sometimes Works: A Lifting Algorithm for Repair of Stochastic Process Algebra Models
• Modelling history-dependent parameters in the SMPS format for stochastic programming
• The recursive definition of stochastic linear programming problems within an algebraic modeling language
• Language constructs for modeling stochastic linear programs
• GBOML: a structure-exploiting optimization modelling language in Python
• A stochastic multi-stage fixed charge transportation problem: worst-case analysis of the rolling horizon approach
• Automatic formulation of stochastic programs via an algebraic modeling language

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