Efficient Stochastic Programming in Julia

DOI10.1287/ijoc.2022.1158OpenAlexW4214615306WikidataQ121792281 ScholiaQ121792281MaRDI QIDQ5106388

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Publication date: 19 September 2022

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

Full work available at URL: https://arxiv.org/abs/1909.10451

zbMATH Keywords

stochastic programmingdistributed computationsJulia language

Mathematics Subject Classification ID

Mathematical programming (90Cxx)

Related Items (3)

StochasticPrograms.jl ⋮ A parallel hub-and-spoke system for large-scale scenario-based optimization under uncertainty ⋮ A graph-based modeling abstraction for optimization: concepts and implementation in Plasmo.jl

Uses Software

• CPLEX
• Gurobi
• GLPK
• Pyomo
• PySP
• FortSP
• SUTIL
• Julia
• JuMP
• GitHub
• SDDP
• Plasmo.jl
• MathOptInterface.jl
• MSPPy
• InfiniteOpt
• POLO.jl
• mpi-sppy

Cites Work

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• Stochastic programming for optimizing bidding strategies of a Nordic hydropower producer
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• Monte Carlo bounding techniques for determinig solution quality in stochastic programs
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• Dynamic sequencing and cut consolidation for the parallel hybrid-cut nested L-shaped method
• PySP: modeling and solving stochastic programs in Python
• Parallel distributed-memory simplex for large-scale stochastic LP problems
• Solving two-stage stochastic programming problems with level decomposition
• The empirical behavior of sampling methods for stochastic programming
• Julia: A Fresh Approach to Numerical Computing
• Introduction to Stochastic Programming
• Scenarios and Policy Aggregation in Optimization Under Uncertainty
• Epi‐consistency of convex stochastic programs
• A regularized decomposition method for minimizing a sum of polyhedral functions
• Stochastic Decomposition: An Algorithm for Two-Stage Linear Programs with Recourse
• Monotone Operators and the Proximal Point Algorithm
• SDDP.jl: A Julia Package for Stochastic Dual Dynamic Programming
• L-Shaped Linear Programs with Applications to Optimal Control and Stochastic Programming
• JuMP: A Modeling Language for Mathematical Optimization
• Pyomo -- optimization modeling in Python

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