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Automatic Formulation of Stochastic Programs Via an Algebraic Modeling Language

Author

Listed:
  • Christian van Delft

    (GREGH - Groupement de Recherche et d'Etudes en Gestion à HEC - HEC Paris - Ecole des Hautes Etudes Commerciales - CNRS - Centre National de la Recherche Scientifique)

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.

Suggested Citation

  • Christian van Delft, 2007. "Automatic Formulation of Stochastic Programs Via an Algebraic Modeling Language," Post-Print halshs-00120971, HAL.
    • Handle: RePEc:hal:journl:halshs-00120971
    as

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    Cited by:

    1. Frédéric Babonneau & Alain Haurie & Guillaume Jean Tarel & Julien Thénié, 2012. "Assessing the Future of Renewable and Smart Grid Technologies in Regional Energy Systems," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 148(II), pages 229-273, June.
    2. BRECHET, Thierry & THENIE, Julien & ZEIMES, Thibaut & ZUBER, Stéphane, 2010. "The benefits of cooperation under uncertainty: the case of climate change," LIDAM Discussion Papers CORE 2010062, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    3. Eduardo Faria & Stein-Erik Fleten, 2011. "Day-ahead market bidding for a Nordic hydropower producer: taking the Elbas market into account," Computational Management Science, Springer, vol. 8(1), pages 75-101, April.

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