Modelling history-dependent parameters in the SMPS format for stochastic programming

DOI10.1093/IMAMAN/DPM006MaRDI QIDQ5452008zbMATH OpenOpenAlexFDO

Authors Gerd Infanger, Horand Gassmann

Publication date 27 March 2008

Published in IMA Journal of Management Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1093/imaman/dpm006

zbMATH Keywords

ARMA modelshistory-dependent distributionsmodel representationSMPS formatstochastic programming

Mathematics Subject Classification ID

Stochastic programming (90C15)

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(2)

• The SMPS format explained
• A comprehensive input format for stochastic linear programs

Describes a project that uses

Uses Software

• NEOS
• DECIS
• XPRESS

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