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

DOI10.1093/IMAMAN/DPM006zbMATH Open1180.90212OpenAlexW2111855365MaRDI QIDQ5452008FDOQ5452008

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

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zbMATH Keywords

ARMA modelsstochastic programmingmodel representationhistory-dependent distributionsSMPS format

Mathematics Subject Classification ID

Stochastic programming (90C15)

Cited In (2)

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

Uses Software

• XPRESS
• NEOS
• DECIS

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