Automatic formulation of stochastic programs via an algebraic modeling language

DOI10.1007/s10287-006-0022-zzbMath1140.90035MaRDI QIDQ871689

Jean-Philippe Vial, Christian van Delft, J. Thénié

Publication date: 20 March 2007

Published in: Computational Management Science (Search for Journal in Brave)

Full work available at URL: https://archive-ouverte.unige.ch/unige:111366

zbMATH Keywords

stochastic programming; algebraic modeling language; deterministic equivalent

Mathematics Subject Classification ID

90C15: Stochastic programming

Related Items

DET2STO

Uses Software

• PERL
• AMPL
• GLPK
• SMPS reader

Cites Work

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• Introduction to Stochastic Programming
• SISP: Simplified interface for stochastic programming
• Building and solving large-scale stochastic programs on an affordable distributed computing system
• Scenario tree generation for multiperiod financial optimization of optimal discretization
• A comprehensive input format for stochastic linear programs