Automatic Formulation of Stochastic Programs Via an Algebraic Modeling Language

Christian van Delft (), J. Thénié and J. P. Vial
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Christian van Delft: GREGH - Groupement de Recherche et d'Etudes en Gestion à HEC - HEC Paris - Ecole des Hautes Etudes Commerciales - CNRS - Centre National de la Recherche Scientifique

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Abstract: This paper presents an open source tool that automatically generates the so-called deterministic equivalent in stochastic programming. The tool is based on the algebraic modeling language ampl. The user is only required to provide the deterministic version of the stochastic problem and the information on the stochastic process, either as scenarios or as a transitions-based event tree.

Keywords: Stochastic programming; Algebraic modeling language; Deterministic equivalent (search for similar items in EconPapers)
Date: 2007-01
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Citations: View citations in EconPapers (3)

Published in Computational Management Science, 2007, 4 (1), pp.17-40

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:halshs-00126783

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