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Journal Articles Computational Management Science Year : 2007

Automatic Formulation of Stochastic Programs Via an Algebraic Modeling Language

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Jean-Philippe Vial
  • Function : Author
J. Thénié
  • Function : Author

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.

Dates and versions

hal-00471422 , version 1 (08-04-2010)

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Christian van Delft, Jean-Philippe Vial, J. Thénié. Automatic Formulation of Stochastic Programs Via an Algebraic Modeling Language. Computational Management Science, 2007, Vol.4,n°1, pp.17-40. ⟨10.1007/s10287-006-0022-z⟩. ⟨hal-00471422⟩

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