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Software tools for stochastic programming: A Stochastic Programming Integrated Environment (SPInE)

By P Valente, G Mitra, CA Poojari and T Kyriakis


SP models combine the paradigm of dynamic linear programming with\ud modelling of random parameters, providing optimal decisions which hedge\ud against future uncertainties. Advances in hardware as well as software\ud techniques and solution methods have made SP a viable optimisation tool.\ud We identify a growing need for modelling systems which support the creation\ud and investigation of SP problems. Our SPInE system integrates a number of\ud components which include a flexible modelling tool (based on stochastic\ud extensions of the algebraic modelling languages AMPL and MPL), stochastic\ud solvers, as well as special purpose scenario generators and database tools.\ud We introduce an asset/liability management model and illustrate how SPInE\ud can be used to create and process this model as a multistage SP application

Publisher: The Centre for the Analysis of Risk and Optimisation Modelling Applications (CARISMA), Brunel University
Year: 2001
OAI identifier: oai:bura.brunel.ac.uk:2438/745
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