Stochastic Extensions to FlopC++

Christian Wolf (), Achim Koberstein () and Tim Hultberg ()
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Christian Wolf: University of Paderborn
Achim Koberstein: University of Paderborn

A chapter in Operations Research Proceedings 2010, 2011, pp 333-338 from Springer

Abstract: Abstract We extend the open-source modelling language FlopC++, which is part of the COIN-OR project, to support multi-stage stochastic programs with recourse. We connect the stochastic version of FlopC++ to the existing COIN class stochastic modelling interface (SMI) to provide a direct interface to specialized solution algorithms. The new stochastic version of FlopC++ can be used to specify scenario-based problems and distribution-based problems with independent random variables. A data-driven scenario tree generation method transforms a given scenario fan, a collection of different data paths with specified probabilities, into a scenario tree. We illustrate our extensions by means of a two-stage mixed integer strategic supply chain design problem and a multi-stage investment model.

Keywords: Stochastic Program; Scenario Tree; Stochastic Version; Multistage Stochastic Program; Deterministic Equivalent (search for similar items in EconPapers)
Date: 2011
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DOI: 10.1007/978-3-642-20009-0_53

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