Automatic Formulation of Stochastic Programs Via an Algebraic Modeling Language

Christian van Delft (1) , Jean-Philippe Vial , J. Thénié

1 GREGH - Groupement de Recherche et d'Etudes en Gestion à HEC

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

Domains: Humanities and Social Sciences; Business administration; Operations management and information technology

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⟩