Location of Repository

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

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

Abstract

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
Download PDF:
Sorry, we are unable to provide the full text but you may find it at the following location(s):
  • http://carisma.brunel.ac.uk/pa... (external link)
  • http://bura.brunel.ac.uk/handl... (external link)
  • Suggested articles

    Preview

    Citations

    1. (1986). A Bank Asset and Liability Model, doi
    2. (2001). A combined model for production capacity planning & inventory scheduling under uncertainty, Informs
    3. (1988). A Comparative Review of Alternative Algorithms for the Dynamic Vehicle Allocation Program, Vehicle Routing: Methods and Studies,
    4. (1996). A scaled stochastic approximation algorithm, doi
    5. (1989). A Scenario Approach to Capacity Planning, doi
    6. (2001). A solution technique for two-stage stochastic program with first–stage integer variables.
    7. (2001). A solver system for multi-stage Stochastic Programming problem, Working paper,
    8. (1987). A standard input format for multiperiod stochastic linear programs,
    9. (1995). A stochastic approximation algorithm with varying bounds, doi
    10. (2001). A Stochastic Programming approach to asset and liability management, doi
    11. (1990). A Successive Linear Approximation Procedure for Stochastic, Dynamic Vehicle Allocation Problems, doi
    12. (1993). Ampl: A modelling language for mathematical programming, doi
    13. (2000). An approach to deal with uncertainty in energy and environmental planning: the MARKAL case, Environmental Modelling and Assessment 5, doi
    14. (1978). An optimal policy for sampling from uncertain distribution, Communication Statistics - A theory methods doi
    15. (1991). Applying the progressive hedging algorithm to stochastic generalised networks, doi
    16. (2001). Computational Aspects of Alternative portfolio selection Models in the presence of Discrete asset choice Constraints, to appear in The Journal of Quantitative Finance. doi
    17. (2001). Computational results web page (http://users.iems.nwu.edu/~jrbirge//html/dholmes/POSTresults.html) Bisschop
    18. (2000). Computational Solution of Capacity Planning Models under Uncertainty, doi
    19. (1995). Continuous approximation schemes for stochastic programs, doi
    20. (1997). DECIS User’s Guide, Dr. Gerd Infanger,
    21. (1986). Designing approximation schemes for stochastic optimisation problems, doi
    22. (1998). Dynamic Stochastic Programming for asset-liability management, doi
    23. (1999). EVPI-based importance sampling solution procedures for multistage stochastic linear programmes on parallel MIMD architectures, doi
    24. (2001). Extending algebraic modelling languages for Stochastic Programming, Working Paper, doi
    25. (1993). Financial Optimisation, Essays dedicated to G.B. doi
    26. (1998). GAMS: A User’ s Guide, Gams Development Corporation.
    27. (2001). Generating scenario trees for multistage problem, doi
    28. (1996). Generating Scenarios for the Towers Perrin Investment System, doi
    29. (1992). Indexing in Modelling Languages for Mathematical Programming, doi
    30. (1971). Introduction to Stochastic Control, doi
    31. (1997). Introduction to Stochastic Programming, doi
    32. (1969). L-Shaped Linear Programs with Applications to Optimal Control and Stochastic Programming, doi
    33. (1997). Languages constructs for modelling stochastic linear programs,
    34. (2001). Modeling the Supply Chain, doi
    35. (1997). Modelling and analysis of multistage Stochastic Programming problems: A software environment, doi
    36. (1999). Modern Mathematical Programming Modelling Languages: A Comparative Review, doi
    37. (1990). MSLiP: A Computer Code for the Multi-Stage Stochastic Linear Programming Problem, doi
    38. (1991). Multi-stage Stochastic Optimization Applied to Energy Planning, doi
    39. (1997). Multistage Planning for Asset allocation, World Wide Asset and Liability Modeling
    40. (1973). Nested decomposition and multi-stage linear programs, doi
    41. (1974). Nested decomposition for dynamic models, doi
    42. (1994). Network planning with random demand, doi
    43. (2001). On a new collection of stochastic linear programming test problems, Preprint at Optimization Online (www.optimizationonline.org/).
    44. (1988). On Stochastic Programming: dynamic problems under risk, doi
    45. (1996). On the formulation of stochastic linear programs using algebraic modelling languages, doi
    46. (2000). Optimization of Conditional Value at Risk, doi
    47. (1997). Parallel Optimization: Theory, Algorithms, and Applications (Numerical Mathematics and Scientific Computation): Oxford,
    48. (1962). Partitioning Procedures for Solving Mixed-Variable Programming Problems, doi
    49. (1991). Performance of a benchmark parallel implementation of the Van-Slyke and Wets algorithm. doi
    50. (1994). Planning Under Uncertainty: Solving Large-Scale Stochastic Linear Programs, The Scientific Press series, Boyd and Fraser. doi
    51. (1952). Portfolio Selection. doi
    52. (1996). Risk and Return analysis of a multiperiod strategic planning problem, doi
    53. (1995). Scenario formulation in an algebraic modelling language, doi
    54. (1999). Schumann, a modelling framework for supply chain management under uncertainty, doi
    55. (1996). SLP-IOR: An interactive model management system for stochastic linear programs, doi
    56. (1993). Solution of large-scale linear programs: A review of hardware, software and algorithmic issues. In:
    57. (2001). Solving Optimization Problems on Computational Grids,
    58. (2000). Solving two-stage Stochastic Programming problem using lagrangean relaxation: An enumerative approach, Submitted to Journal of Global Optimisation.
    59. (1994). SP/OSL Version 1.0 Stochastic Programming Interface Library: User’ s Guide,
    60. (1996). Stochastic Decomposition: A Statistical Method for Large Scale Stochastic Linear Programming, doi
    61. (1995). Stochastic Programming approach to the network planning under uncertainty,
    62. (1998). Worldwide Asset Liability Management. doi

    To submit an update or takedown request for this paper, please submit an Update/Correction/Removal Request.