Automatic Formulation of Stochastic Programs Via an Algebraic Modeling Language

J. Thénié, C. VAN DELFT, J. Vial

Computational Management Science

January 2007, vol. 4, n°1, pp.17-40

Departments: Information Systems and Operations Management, GREGHEC (CNRS)

Keywords: Stochastic programming, Algebraic modeling language, Deterministic equivalent

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